How would you like a theta positive, non-directional trade, with risk on only one side? The SPX “Flat” butterfly is a good candidate. With this trade set up, you will have very little risk to the up side, which leaves you with only having to defend a downside move.
The trade is entered as follows.
With the SPX trading at around 2100, use the September option that expires 30 days from now. Sell one 2100 call, buy one 2130 call and sell one 2100 put, and buy one 2050 put.
Asymmetrical Iron Butterfly
This constructs an “asymmetrical” iron butterfly as the call long wing is closer to the call short strike than the put long wing is to the put short strike.
If this trade is entered at present for a credit of $30.10, no matter how high the SPX goes you would make $10 if the price left the body of your fly.
Adjust or Close the Trade
Of course if the price stays near the 2075 to 2120 area you will also be profitable. Only if the price goes below 2070 do you need to adjust or close the trade.
This makes for an interesting trade that leaves you with fewer possibilities for trouble.