It's something I developed early in the '00s as a "risk on" alternative to a risk-reversal for isolating skew. It's not the first time I've devoted a thread to the subject, but I figure it has performed well over nearly ten years and deserved updating. I ran a hypo portfolio as well as real$ in a public (HF) account which was documented and did well even in the credit crisis. The Pitchfork combo (PF) is a quick 'n dirty method of analyzing $-skew and/or a potential trade setup in index skew. Obviously you're selling down and out strikes. The raw PF-premium won't tell you anything w/o some sort of historical-context, so I run a rolling 30-day OTC straddle-vol based upon SPX CBOE ATM straddle vols. Each day I calc the 30-day OTC straddle premium with a vol-input from a blended tenor of SPX ATM *listed* straddles. That's the input for the average. I price the first strike that is outside of the straddle range. SPX 1345; ATM combo 54; (1345 - 54 =1291). I'd look to Jul20 strikes at 1290 or lower. Here we have the 40 and 45 straddles represented by their mids (fairval figure). Using 54.00 as the premium in the Jul20 ATM listed straddle. The PF combo is the 1290 weighted straddle, 3:1 favoring puts. You're a seller of three 1290P against one short 1290C. ($12.95*3) + ($63.70*1) = $102.55 PF credit Then you simply solve for risk of a strike touch under a flat vol-surface/gain to sticky delta You take the (2*ATM straddle) value as an assumption of an immediate strike touch of 1290. In this case it's (2*$54) = $108. The value related to a pinned straddle value at 1290 spot under a flat vol/sticky assumption. If 1290 is touched you would be short four ATM options. Hence the "2*ATM straddle" value. You're massively long delta at a touch of 1290, but you're analyzing a risk of strike-touch, not your cum-delta position. PF credit = $102.55 ATM combo*2 = 108 Risk of strike touch under flat vol = $5.45 per pitchfork contract (3x1) Obviously the flat-vol is as realistic as flat-Earth, but it's a data-point for further mining and can give you a premium-value on skew if you're running some the OTC/theoretical calc. There can be some gains from symmetry on a lower notional spot value, but it's normally overwhelmed by the vol-jump. You can hedge these off as pseudo-flies to trade them bounded.