Guts (long, ITM)
Big moveUnlimited profitLimited loss
Buy ITM call + ITM put: deep long-vol variant of the strangle.
Payoff at expiry — live BTC example
Net debit
$2,399
Max profit
Unlimited
Max loss
$199.44
Breakevens
71,401 / 73,999
Example legs (0.6 DTE front)
- Buy 71,600 call
- Buy 73,800 put
Entry greeks (per 1 BTC notional): Δ 0.060 · Γ 0.3167 per 1% · vega $14.05/pt · theta $-494.82/day
How it works
Long ITM call (below spot) and ITM put (above spot): high intrinsic floor, profits when price escapes the strike overlap.
When to use it
Rarely better than a strangle after spreads; used when ITM quotes are relatively cheap.
Risks & management
Wide bid-asks on ITM options make entry/exit expensive; the extra intrinsic ties up capital for the same convexity.
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.