Hello everybody, I would like to write about a strategy that recently got my interest. Basically it's just a bull/bear front spread, but instead of having the classic 2short:1long ratio it is more like 9:7 or 5:3, basically something less risky than 2:1 but also less conservative than 1:1. I'm not aiming at getting it for a credit, a small debit is fine. I created a tool that scans all the possible combinations, and for each one spits out the risk/reward ratio and calculates the expected delta once the underlying price touches the short strike. (I assume delta of the short by then will be 0.5, and the long is derived by arbitrarily plugging in the moving average of the spot IV and half of the available days to expiration in the formula). I will be basically picking the best trade-off between risk/reward and high delta. Ideally, if the trade goes against me I will be losing a limited amount, if it goes in my direction instead, by the time it touches the short strike it will still have some steam(deltas) left. I will let it go just a bit beyond the point when delta reaches zero and starts inverting. Now, my questions for the veterans of this forum are the following: 1-I will be combining this tool with entries from a trading system. I was thinking about using a mean reversion /failed breakout approach. Do you think this makes sense? Or should I use a trend following system instead? 2-What could be the worst case scenario in this trade? I am thinking about a spike in IV, where the stock suddenly blows past the short strike and the short losses are much higher than the long gains. What else could go wrong? 3-Which could be the best conditions to put on this kind of trade, in terms of IV rank and days to expiration? 4-What could be a reasonable profit target?