root time neutral, no ddrift. Left tail improves with vol (mkt drops = no loss). It flips modality on strike vol as mkt rallies/ A pure sticky delta isolation.
This stuff is like the ultimate r:r it seems, what would be worst case on it? Even as it sits right there, if nothing changed (left tail didn't improve as market drops), it looks great.
vertical or event contract. use a vertical to find the probability that underlying will expire above or below the spread's midprice. compare that to other verticals or event contracts that should have same payoff; buy the cheapest. Why are you looking into options without knowing the basics?
Basics I get it, but I fail to understand how this would work for my strat. Will spend more time to analyse it.
London range as in open and close? London Open to NY open? or the index gap range? 0dte or intraday anyway, I don't know if a vertical would do it unless some price conditions are met. For example now on spx, if you go by range "until NY open", price breached the support and is inside the range, a 0dte credit spread where you bet on not breaching resistance around 5850 wouldn't do the job (1:4)