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
$2,267
Max profit
Unlimited
Max loss
$66.89
Breakevens
64,733 / 67,067
Example legs (0.7 DTE front)
- Buy 64,800 call
- Buy 67,000 put
Entry greeks (per 1 BTC notional): Δ -0.021 · Γ 0.2576 per 1% · vega $9.23/pt · theta $-184.79/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.