I have been thinking about a strategy for playing a range bound sideway underlying that involves putting on a calendar on the bottom of the range with a butterfly towards the top. Instead of having an exact price target, I have a price range where I want the underlying to hang out. By combining calendars and butterflies, I'm getting probabilities above 63% in most cases, which is much higher than the 45% at best I get for calendars and butterflies. Here's an example of a trade: WITH Intel (INTC) at $24, 1) Buy 21/25/30 broken wing CALL butterfly 2) Buy 4 July/Aug 23 Put Calendars This gives me break evens from $22.65-$22.52 with a probability of 63.69%! Obviously, the trade off is that the risk/reward is worse than just the butterfly or calendar alone, but perhaps it's worth giving up risk/reward for higher probabilities? Doesn't this seems like a better strategy in the long term?