Let's use options on currency futures, for reasons I won't bore you with. Let's say I buy the June EUR futures @ 135 and write an ATM call for like 40 pips. And I put in a stop order for the futures at 134. 60. Next, I sell a Sept EUR futures at, say, 135 and write a put for 40 puts and put a stop in for the Sept futures 40 pips under. I collect about 40 pips -- give or take a few for slippage -- no matter what, @ June expiration, right? (And close the Sept position.) What is this strategy called, btw? What are the caveats?