FX:SPX500   S&P 500 Index
This particular setup I consider the "classic" delta neutral index IC             setup, with the short put at the 85% probability out-of-the-money strike and the short call at the 75% probability out-of-the-money short call. The short call is placed closer in to current price to accommodate skew and on the general assumption that "velocity" of movement is generally greater to the downside than to the upside (which is why puts in these instruments are generally more expensive than similarly distant out-of-the-money calls), as well as to give you a largely "delta neutral" setup.

Additionally, you're receiving approximately 1/3rd the width of the $10 wings in credit for the whole shebang, which is generally what you're ideally shooting for in these ... .

In any event, here are the metrics for the setup:

Probability of Profit: 60%
Max Profit: $335/contract
Max Loss/Buying Power Effect: $665/contract
Theta: 4.94/day/contract
Delta: -2.04/contract

Notes: As usual, look to take the entire setup as a unit at 50% max profit.

As a total side note, as your account size grows, at some point you will need to consider transitioning away from the smaller index instruments like SPY             , IWM             , and QQQ             to the larger SPX             , RUT, and NDX. You can naturally continue to scale up your trade size by increasing the number of contracts and/or widening the wings of your setups. However, increasing the number of contracts also increases fees/commissions. Additionally, widening the wings only goes so far, since -- at some juncture -- the long options really get too cheap and can go "no bid" during the life of the trade, causing you headaches with exiting the spread cleanly as a unit (usually, where that occurs, your only choice is to exit the short option of the spread first, and then wait for an opportunity to take off the long when it's bid again or wait until expiry when it will expire worthless).

Naturally, an interim step between trading SPY             and the larger SPX             using strictly defined risk setups can be to go short strangle ... .
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