%% Good points; but with players like Citigroup in that big bank sector, JPM maybe better than C. C is priced @ $ 46.87\actually with the reverse stock split \ C = really $4.68
Dumb author. It's written poorly. You cannot go OTM equidistant on the combo (put and call singles) for a credit due to skew so they buy a put spread (bear) and sell calls outright. This allow a net zero outlay on the overlay. The put side gain is floored at the short strike out of necessity as the put is trading at 35 vol and the calls are at 14 vol. So your goal is zero outlay and your 4% OTM call strike is trading at $30. You price a bear vertical 5% OTM and choose the widest strike width that doesn't exceed a $30 debit on the ps. So the street has to absorb a bunch of long calls and bull ps.
Not sure if I understand the strategy correctly. Does it involve the following legs: a stock, a long put at -5% strike, a short put at -20% strike, and a short call at 5% strike? The PnL at expiration should look like this: