Double diagonal
Neutral / rangeLimited profitLimited loss
Short near strangle, long far strangle: an iron condor across time.
Payoff at front expiry — live BTC example
Net debit
$101.13
Max profit
$352.37
Max loss
$1,101
Breakevens
73,292 / 76,577
Example legs (0.4 DTE front)
- Sell 76,000 call · 2026-08-21
- Sell 73,600 put · 2026-08-21
- Buy 76,800 call · 2026-08-22
- Buy 72,600 put · 2026-08-22
Entry greeks (per 1 BTC notional): Δ 0.052 · Γ -0.1260 per 1% · vega $9.27/pt · theta $474.22/day
How it works
Sell the front strangle, own a wider back strangle: front theta pays while the back legs cap the tails at front expiry.
When to use it
Range thesis plus a view that front IV is rich versus back.
Risks & management
Vega-heavy: back-leg IV dropping hurts everywhere on the curve. Manage at front expiry — the second cycle is a new decision.
Related structures
Example built from live Delta Exchange BTC marks on the nearest constructible expiry; numbers refresh with the chain. Educational content, not investment advice.