Using current prices: Your backspread: Up about $500 for $11,000 margin used. My short 360 calls naked: Up $285 for every $3,500 margin used.
Selling the bid and buying the offer shows it trading at $10.10 as I write this, for a $6.10 gain, but it was trading near $12.00 this morning. I covered half at $11.20. I paid $3.00 a few days ago, but it closed yesterday at $4.00. I don't calculate return on margin as it has no relevance to risk/reward, but I see your point. Your variation margin would've doubled on a 10% upside run. The backspread margin on a 10% move would've been another $1500. I could have bought 260 of the 280/310/340 butterflies at 8.50 for the same outlay as the initial haircut on the backspread. The flys are trading at $12.00 now, with a requirement of $850/contract with no variation -- a gain of $91,000 gross for anyone owning those. There is some upside remaining in the backspread. A trade to $310 next week would equate to a $15.00 debit.
I wasn't planning on keeping the 360's beyond one day, not matter what GOOG did today. Holding GOOG stock short over the weekend, also holding GOOG 320 calls short.
**""I don't calculate return on margin as it has no relevance to risk/reward, but I see your point. ""** The reason I do this, is because the margin requirements on naked short options are so ridiculously high. Unless one has a giant stack of OPM (Or keeps a massive chunk of his net worth in an options trading account), the naked shorter of options always has to deal with the frustration of not being able to put on adequate size.
I agreed with your point in my earlier response. I calc the 1/2/3 sigmas of the spread/combo at static and declining vols to see where my P&L will be. The backspread worked better under 2 deviations, but certainly haircut is important. The best-play we've discussed on a haircut-adjusted, risk-reward basis, was: long butterfly, backspread, short call. Rationale being that the call earns no more than $3.20 and variation margin doubles at 10% up, while the backspread fares a bit better on variance and r/r. We were both dumb for not buying a lot of those flys. You/I could've earned 50% on "margin" by playing the long 280/310/340 butterfly.