Strong assumption: Cannot pass speed limit at 2200 before 20Jun16.
Buy Put Spread 1980/1900 (25-15=10)
Sell Call 2200 (10)
Net Premium Zero.
Trading: executing for 40% notional
Looks like an interesting trade.
What do you do if the price attacks 2200? Would you liquidate the entire structure or just roll the call higher for credit?
Since you have a naked call, how is the entire structure affecting your buying power?
I like this trade a lot!
If the spot stays here, over time the value of the 1980 put will have greater value than the 2200/1900 Strangle.
Keeping until expiration or not depends on path... if it falls to 1850 in May, I would unwind.
Whatever happens, I am likely to let the call die.
If exercised on the call, i would happily run 40% short at 2200 for a few weeks and uwnind at say 2140..