Please help me understand the flaws in this strategy. Let's say there is a significant amount of put skew. Underlying is currently at $100. $95 Put is trading with IV of 20. $105 Put is trading with IV of 10. So you put on a bear vertical spread and delta-hedge with the underlying to remain delta-neutral until expiration. Wouldn't this mean you are guaranteed to capture the skew? The realized vol between the time you open the position and expiration has to be 1 number, so you are guaranteed to make exactly the difference between the 2 IVs from your vega position? One problem I see is not being gamma neutral so you are exposed to gap moves / jumps, but is there something else I have missed?