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
$2,941
Max profit
$341.39
Max loss
Unlimited
Breakevens
75,659 / 78,941
Example legs (0.8 DTE front)
- Sell 76,000 call
- Sell 78,600 put
Entry greeks (per 1 BTC notional): Δ -0.055 · Γ -0.2789 per 1% · vega $-20.11/pt · theta $526.46/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.