Problem: Can you buy a spread such that: - No Shorted Options - Net debit of $1000 - Positive delta to follow trend of an up-market - Positive vega such that profit from increased volatility will trump the losses from positive delta when market 'pops' - Beat theta in the process? Ultimately my outlook is long market until it stops, then long volatility. But make profits on both ends in the process I don't know if this is a retarded spread or not.. But it seems to be doing okay. 1ct @ 3.48 2ct @ 3.07 6.14 + 3.48 = 9.62 net debit http://img690.imageshack.us/f/spy2.png/ Does anyone have calculators or something that can do this optimally? Am I overlooking something? P.S. That screenshot is from a paper money acct obviously, but the pricing of the options doesn't lie. Thoughts? Discuss?