Yeah. The entire point of put-call parity (or, ya know, whatever it's called ) is "no arbitrage" - meaning that no combination of puts and calls will result in a greater return than the underlying. Otherwise, you'd buy (sell) synthetic longs (shorts) and immediately close them out by selling (buying) the stock. Rinse, repeat, billionaire by day's end. So I'm afraid the "put-call whatever" is going to create a bit of inconvenience for you if you try what you've suggested in real life. But give it a shot and post the blotter... it'll be a learning experience for someone.
Ohhhh, I see I was wrong on selling the deep in the money puts and calls - it IS like selling deep out of the money ones - I my 2 seconds thinking about it I figured if the stock broke one direction you as the seller would get the benefit of the large in-the-money premium paid by the guy against whom the stock broke, but that is not right, because the OTHER buyer would exercise his option and effectively get that benefit. So, I was wrong. This is the first time I've ever been wrong, whether on the internet or in real life. Gratz guys. Have a cold one, on me. You deserve it!!!
Short 80/120 outside strangle and long 80/120 inside strangle (guts) = long the $40 box. It's rates-arbitrage. Your risk is pinning and rho (opportunity cost). Generally, you want to be a buyer under $40 and a seller over $40. Please don't breed.
saltynuts graduated with 4.0 in finance. There are only a few people who understand IRR better than him. He obviously has found a way with that giant brain of his.