I study and monitor a particular index and would like to buy warrants based on the index. My system is as follows: Buy both call & put warrants with deltas around 50% for both. Put stop losses of ~5% loss on both calls and puts. If index goes up, I make on the calls and puts get stopped out. If index goes down, the reverse occurs. I am only at risk when the index does not move at all. But I will only enter a trade when the index's spot price is within a narrow range of available warrant strike prices: eg. index trading at 14200, I buy the available calls with strike of 14300 and available puts with strike of 14000. Since the range of the strikes is narrow, I expect either the calls or puts to become ITM before expiry. If this kind of setup is not available, I will not make a trade. Could anyone advise what are the potential downfalls and overlooked issues with this system? Thanx for your help and advice.