I have some questions about this strategy that I have looked at extensively. I have a trade: DEC08 ES is the underlying; Short NOV08 795P; Long DEC08 700P. Net credit was 6.00. The greeks: Vega-Neutral; Theta +4010; Gamma -0006. As I compare this spread with a short, naked NOV08 795P, I see the following: Theta is still positive, but less positive than the naked short; Gamma is negative, but less negative than the naked put. Some observations: It appears that the NOV08 will decay faster than the DEC08 because of theta. It appears that long volatility is neutralized. So, am I correct in believing that this spread simply makes money over time, regardless of the movement of the volatility? So, what am I missing? How does this trade lose money? It seems that the max profit is seen near/at the 795 strike at NOV expiration. How/where do the losses occur? Extreme volatility movements upward? Extreme volatility movements downward? Extreme price movement upward? Extreme price movements below the 795P? I appreciate some insight.