From the floor of the CME group Randall Liss, Traders Exclusive Contributor discusses an options strategy that takes advantage of time decay. The strategy is called Double Diagonal, it is non-directional and ideal if the market is quiet and you think it will pick up later with more volatility. The first step is to buy an out of the money put, strike A, with about 60 days to go. The second step is to sell a slightly less out of the money put, strike B, with about 30 days to go. The third step is to sell an out of the money call, strike C, also with 30 days left. The last step is to buy a further out of the money call, strike D, with 60 days to go. This way you short B and C and are long A and D. The hope for this trade is that B and C will go out worthless giving A and D advantageous pricing. This trade does not have a lot of margin because it is not net option short; if the move comes before you think, it will cost you money. ¿