Phil, I believe this may be correct without any directional bias. Based on studies used for calculation of our ODI indicator, we do the same - taking greater exposure upside. Nothing to say - Ansbacher index considers market sentiment to be bullish when calls to put price ratio at the same OTM distance is greater than 0.8 (if I well remember). Anyway, "balanced" market means puts are more expensive than calls.
I made a simple format for testing ( this or other SPX strategy). Note : all calcs on the ASK , one should add/deduct spread as needed. Insert numbers in column "O" only , and double check all ; I did it really fast.
very weird... all inserted Excel formulas disappeared , displays only values(correct ones). Please disregard.
Short too many gammas in the time spread. Benefits of the time-fly are predictability and limited exposure to vol-implosions. Timing depends on asset class. Index can be traded as a rollover-methodology; individual equity positions are trickier. Refer to my post re: goog on page 850.
I've done 30 point ATM iron flies (regular, not time) on OEX. Not sure if the this time-fly is any better (aside from being +vega). Need to look at it closer.
The vega is a function of individual deltas on the put/call wing combo strikes... larger wing deltas[individually] = larger vegas. Vertical flies are short gamma and vega when atm. I would trade a time fly in much larger numbers due to the reduced, per contract exposure. This excludes legging into cheap iron flies for reduced risk-outlay.
That post sounds like Riskarb. Have to read it again and again. Its like debugging C# code...........