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Description:
This is a sideways strategy consisting of a short position in an ITM call option with a strike price K1, and a short position in an ITM put option with a strike price K2 . This is a net credit trade. Since both call and put options are ITM, the initial credit is higher than in a short straddle position. The flipside is that the risk is also higher. The trader’s outlook is neutral. This is an income strategy.
C > K2 − K1
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