Yesterday we did an option strangle where we wrote the June $117 calls and also wrote the June $87 Puts. Since last October we have traded a range of 332 on top and 275 down below. Since early January the range has been 332 on top and 294 below. The June options expire on May 25 (44 days) And the margin to initiate today's strangle is about the same as yesterday's crude strangle at $1500.

The Trade: Sell or write the June 275 Heating Oil puts and 355 calls for a total premium of 180pts. $756
Protection. Exit the calls if futures exceed 355 and the puts if they drop below 275
Objective: Options expire worthless and we keep the $756 premium