could be something as simple as exposing one of the greeks,getting lucky.. then slapping on the missing greek on the opposite side to bring the entire curve above the line. Nothing mysterious, but risky up until the layer gets put up.that hard edge around $241.5 tells me one of the contracts is about to expire,(hence diagonal /calendar) the curve on the $244 line tells me it is a back month, the above the line tells me he exposed some greek to get above the line.. the fun continues.. ...clearly designed to lure clients in...the only way u can put on this option spread at the same time was on the floor in the 80's-90's where you trade flow OR some structured edge (like RAES bandits) .. If it was the latter. there would be no way he would sell it...
just checked out his site.. love that part about 1 of the reasons most option traders lose..." too much emphasis on the greeks" reminded me of that Karen the supertrader interview at Tastytrade. When she said she does not pay much attention to the vega which means she did not pay attention to her - vomma which did her in!! ...unbelievable..
Thanks mushin. I think the structure is N diagonals on the left, M calendars in the middle, and X calls on the right. With M < N, and X to overcompensate and get the upward slope on the right. I like the limited risk and the potentially very high ROI, if one can half-guess direction.