Skew. It can be a pain in the butt if you want to trade both delta neutral and probability neutral.
In QQQ, a delta neutral setup at the moment would be: selling a spread on the put side with the short put leg at the 275 (17 delta) and on the call side with the short call leg at the 344 (17 delta). However, this results in a short put strike 38 strikes away from current price and a short call strike 31 strikes away. It's delta neutral, but the probability of profit on the put side is 83% and on the call side 78%, so it isn't both delta neutral and probability neutral. Ugh.
Fortunately, there is a solution to obtain both a delta neutral and a probability neutral setup, and it's with a variation on the iron condor: a "double double" -- double the contracts on the call side, with the put side being double the width of the call side spread. Because the risk associated with the put side spread -- that attributable to a five wide -- is greater than the risk associated with the call side (2 x 2 or the equivalent of a four wide), the maximum risk of the setup is that of a five wide -- the widest wing of the setup. In other words, doubling up the number of contracts on the call side doesn't increase buying power effect, because it's attributable to the widest wing (i.e., 5 > 2 x 2, so buying power effect is that attributable to the five wide).
Here, you can't quite go exactly double due to strike availability at the moment on the put side (there's only five wides there), but you can go five wide on the put side, and 2 times a two wide on the call (the functional equivalent of a four wide) to get both a net delta and probability neutral setup:
Put Side Short Put Leg: 17 delta
Put Side Probability of Profit: 83%
Call Side Short Call Leg: 2 x 12 delta
Call Side Probability of Profit: 82%
Resulting Setup Delta: .07
Naturally, skew isn't always to the put side; it's sometimes on the call side, where we'd do the opposite to accommodate skew: double up the number of contracts on the put side (but at half the spread width of the call).
In QQQ, a delta neutral setup at the moment would be: selling a spread on the put side with the short put leg at the 275 (17 delta) and on the call side with the short call leg at the 344 (17 delta). However, this results in a short put strike 38 strikes away from current price and a short call strike 31 strikes away. It's delta neutral, but the probability of profit on the put side is 83% and on the call side 78%, so it isn't both delta neutral and probability neutral. Ugh.
Fortunately, there is a solution to obtain both a delta neutral and a probability neutral setup, and it's with a variation on the iron condor: a "double double" -- double the contracts on the call side, with the put side being double the width of the call side spread. Because the risk associated with the put side spread -- that attributable to a five wide -- is greater than the risk associated with the call side (2 x 2 or the equivalent of a four wide), the maximum risk of the setup is that of a five wide -- the widest wing of the setup. In other words, doubling up the number of contracts on the call side doesn't increase buying power effect, because it's attributable to the widest wing (i.e., 5 > 2 x 2, so buying power effect is that attributable to the five wide).
Here, you can't quite go exactly double due to strike availability at the moment on the put side (there's only five wides there), but you can go five wide on the put side, and 2 times a two wide on the call (the functional equivalent of a four wide) to get both a net delta and probability neutral setup:
Put Side Short Put Leg: 17 delta
Put Side Probability of Profit: 83%
Call Side Short Call Leg: 2 x 12 delta
Call Side Probability of Profit: 82%
Resulting Setup Delta: .07
Naturally, skew isn't always to the put side; it's sometimes on the call side, where we'd do the opposite to accommodate skew: double up the number of contracts on the put side (but at half the spread width of the call).