Just reading through Option Market Making again and came across a chapter that I missed completely the first time around.. After discussing the pros and cons of various strategies he arrives at the conclusion that the best holding a trader can have is a +theta +gamma position, achieved by going long flies in the front month and long wrangles in the back month. Cottle's Slingshot hedge method attempts something similar (in the front month only). Something I didn't fully understand: does Baird mean that market makers should try to manage their books to be as close to this structure as possible? Or is he implying that its a viable outright trade? I think I can just about understand the limitations of a position like this, such as the big profit holes either side of the front month wings, growing cost of adjustments/hedging in choppy markets etc etc; Its seems like a brute of thing for the regular retail trader... I'm interested in how readers thought about this and the concept generally. Does anyone here trade in a similar way? How do you deal with entries / exits, legging in and out? What about whipsaw/choppy markets, how do you hedge, and is it worth all the trouble?