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I have been playing with option strategies in order to understand the advantages/drawbacks of all of them.

Then I realized this type of strategy is not so advertised in the web and cannot find any "academic" name for it.

The strategy consists in: a) buy 2 deep OTM calls b) buy 2 deep OTM puts c) sell 1 OTM call d) sell 1 OTM put

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It looks like a reverse Batman strategy with no capped profit (you gain from low and high volatility while losing from medium volatility).

Is this replicable in real world? Do we have a name for it?

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    $\begingroup$ This is replicable in the real world. Not sure if we have a name for it. $\endgroup$ – phdstudent Mar 8 at 17:06
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a) buy 2 deep OTM calls b) buy 2 deep OTM puts c) sell 1 OTM call d) sell 1 OTM put

This is just a ratioed strangle switch. No idea if there's a name for it but it's not a new idea and I've seen it pitched.

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    $\begingroup$ Explain it to me slowly. (Deep OTM Call, Deep OTM Put) is the first Strangle, which we are long. We might call that the external strangle. Then (OTM Call, OTM Put) is the second or inner Strangle, which we are short. What does "switch" mean, that we are long one and short the other? I have never heard this term. I think I understand Ratioed, that is because we have 2 of the first for every 1 of the second, so they are in a 2:1 ratio. Am I rite? $\endgroup$ – noob2 Mar 8 at 18:49
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    $\begingroup$ You are rite. "switch" is the terminology I've seen used but that's not to say it's standard. $\endgroup$ – user42108 Mar 8 at 19:01
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    $\begingroup$ E.g. "we entered a USD 1y 2s10s/6m 5s10s delta-hedged curve straddles switch" (from a sellside rates piece) $\endgroup$ – user42108 Mar 8 at 19:11
  • $\begingroup$ @user42108 thanks, what is the source? Can I access it? Curious how they applied this strategy $\endgroup$ – Saverio Mar 9 at 11:43
  • $\begingroup$ Source of the above quote was a sellside rates strategy piece. It's not publicly available and so I don't want to quote too much from it. $\endgroup$ – user42108 Mar 9 at 16:18
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It's an iron condor combined with a long OTM strangle.

It benefits from higher IV. It does not benefit from lower IV because there are more long legs than short.

Oftentimes, people just make up names for combining two strategies. AFAIC, what's important is to understand the potential P&L of the strategy as well as the overall effect of time decay and implied volatility.

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