Hi All, I heard of this "strategy" from a friend, and after spending countless hours on TOS trying to "reproduce" it, I gave up and start thinking something is fishy... Here are the details, they call it "The bric": http://www.youtube.com/watch?v=3zJBU-DYUYs It is a boring video from a guy bragging about his company most of the time, so I'd skip ahead to where he actually shows it on the TOS platform. Somehow it makes money if vol goes up or down, and he doesn't show where he'd lose money (as we all know, you must lose in some situation). Here are the meaningful stats I got from the video: Symbol Used: RUT prob date 03/16/12 date 01/26/12 stock price: 795.64 buying power used 18000 volatility at 0 delta -5.44 neg gamma -0.27 neg theta 12.09 pos vega -100.10 neg P/L -3 volatility at -20 delta 0.8 pos gamma -0.05 neg theta 0.60 pos vega -8.55 neg P/L 1599.03 volatility at +50 delta 96.72 pos gamma 0.48 pos theta -203.46 neg vega 487.79 pos P/L Open 15136.30 volatility at +100 delta 132.52 gamma 0.31 theta -391.88 vega 548.23 P/L Open 41526.40 OBS: In no moment he simulates what happens if the stock price changes... If anyone came across this, and know how to reproduce it, I'd be happy to find out more on the weaknesses of the strategy, and if it's actually even viable or not... I will keep working more on it, and if I figure it out, will post the results / how to reproduce it! Cheers!