You're short the 10/11 outside strangle and long the 10/11 inside strangle, short the box. Consider the position as two identical payoffs; in this example, a short inside [synthetic] straddle and the long outside [natural] straddle. You can use the vertical or strangle arb, or use stock and consider the synthetic long and short. Short the inside for 3.75 less the $1 strike differential, leaving 2.75. Long the natural at 2.60 leaving a credit of $.15 as stated. The apparent edge, less commissions is the risk-premium of assignment and pinning. There is more to it, but you've omitted duration.
Thank you for your feedback atticus, it's clear from your post that you know a lot more about options than me. The options expire in June - I think this might be what you mean by "duration" ? xflat mentioned assignment, which I will watch on a daily basis. Donnap mentioned pin risk, which means that I'll keep an eye on the situation at expiry.
Actually the time premium on the put would include the premium to short the stock so if the stock you're talking about is a hard to borrow stock with an high premium to borrow the stock you're likely to get assigned early.
Yeah, but the synthetic 10-long [one example] is trading above the shares [using m22au's quotes]. I'd assume it's not an issue of hard to source.