Neutral strategy · Advanced
Market outlook Range-bound
Short ITM call and put seek limited movement.
Each row reprices every live leg independently. Entry premiums stay fixed.
| Underlying price | Move | Profit / loss |
|---|
Dollar-scaled for each leg's quantity, multiplier, expiry, and IV. Theta is per day; vega and rho are per one percentage-point move.
| Leg | Delta | Theta/day | Vega |
|---|
Strike configurations
Use even deeper in-the-money strikes for both short legs.
Key difference: Collects even more premium upfront, but ties up more margin and increases dollar risk if the strikes are breached.
Best for: Advanced traders seeking maximum premium collection from a range-bound view.
Use strikes only slightly in-the-money rather than deeply so.
Key difference: Lower premium collected than deep ITM short guts but less capital tied up and a somewhat narrower risk profile.
Best for: Traders seeking a middle ground between short strangle and deep short guts premium levels.
Common questions
Selling in-the-money options collects more total premium since they carry intrinsic value in addition to time value, at the cost of significantly higher margin requirements and larger dollar risk if breached.
The risk direction is the same (undefined, potentially large losses if the stock breaks either strike), but the larger premium collected means larger dollar amounts are at stake in both directions.
The margin requirements and capital intensity of selling two deep in-the-money naked options are substantial, and the risk/reward doesn't clearly improve on simpler alternatives like a short strangle or iron condor.
The total premium received from both legs, realized only if the stock finishes exactly between the two strikes at expiration — a narrow target given how deep in-the-money the strikes are.
Deep dive
Detailed explanations, management techniques, and real-world scenarios
Scenario Lab
Explore how this position changes before expiration
Quick reference
Quick answers about when to use, capital needed, and key risks
Profit and loss
Compare max profit, max loss and break-even across common strategies
Custom calculator
Combine calls, puts, stock, quantities and different expirations
Risk sensitivity
Inspect Delta, Gamma, Theta, Vega and Rho
Same market view
Every neutral structure on the site, ranked by risk and capital needed
Same experience level
Structures with a comparable learning curve to the short guts
This calculator uses exact intrinsic value at a leg’s expiration and Black–Scholes theoretical value while that leg remains open. Position Greeks use the same visible legs and model assumptions. Results exclude fees, tax, liquidity, margin, early exercise and assignment behavior. Educational illustration only—not financial advice.