Short guts (ITM)
Neutral / rangeLimited profitUnlimited loss
Sell ITM call + ITM put: strangle economics built from ITM strikes.
Payoff at expiry — live BTC example
Net credit
$2,267
Max profit
$66.89
Max loss
Unlimited
Breakevens
64,733 / 67,067
Example legs (0.7 DTE front)
- Sell 64,800 call
- Sell 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
Short ITM call and put: a large credit, most of it intrinsic. The true edge (extrinsic) equals a strangle at the mirrored strikes.
When to use it
Almost always dominated by the equivalent short strangle; relevant only when ITM pricing is out of line.
Risks & management
Big nominal credit hides a small real edge; assignment/settlement mechanics on two ITM legs add operational risk.
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.