No. Mine was not delta-neutral. It has slight negative delta bias. There are two scenario's where I usually trade this structure. One where the skew is steep, that also means index has run-up and i prefer slight negative delta bias. Other time i trade this structure is when index is deep undersold, (here skew is not steep) and expect index to bounce and the vol will come-off. This structure works only in portfolio margin accounts, but I calculated profit target based on Reg-T margin. My profit target was usually 1 to 1.5% of Reg-T margin (works out higher based on PM) or time based exit of 7 days or price moves away from T+7 line. I didn't had any trouble getting filled 10 cents away from mid in SPX spreads. Any time you do dispersion type of trades, it eats away lot of margin and commissions. So it is suited only for portfolio margin accounts. Return is also not gang busters, but drawdowns are not severe compared to pure direction trades.