I was just reading how this works and I still don't see where the catch is. Of course there is no strategy, un-managed, that will generate continuous profits without the relative risk. You buy 100 calls of xyz SK25. Gamma= 0.1 Long Call has a gamma of 1000 You sell 125 calls of xyz SK30. Gamma= -0.08 Short call has a gamma of -1000 Gamma Neutral Long 100 calls of xyz SK25 who's delta is 0.6. Delta =6000 Short 125 calls of xyz SK30 who's delta is -0.4 Delta =-5000 Position delta thus far= 1000 So now you short 1000 shares of xyz bringing the position to Delta Neutral. Theta on the long calls is -.01 Theta on the short calls is .02 Net theta= 150 Position generates $150/day I am having trouble determining the hypothetical captial required based on margin requirements but relative to similar examples it would seem you would need in the areas of 30K to implement this trade. Using 30K will generate a 2.5% gain/5days. Now... factoring in commissions the only thing left to worry about is IV(?). What is the magnitude and likelyness of a change in IV that will compromise this position? How would you hedge vega and would it be rational? Finally, because there must always be a buyer for every seller, why would anyone take the other side of this trade? I hope I made sense.