This is something of own creation but i am not able to understand if this strategy is really direction less and only gains on decay, can someone help me debug this strategy to find out in which scenario(s) this will fail?
Strategy:
BCE | ATM | CurrentExpiry
SPE | ATM | CurrentExpiry
SCE | ATM | CurrentExpiry+1
BPE | ATM | CurrentExpiry+1
Simulating this in Sensibull gives me a green result with 0 Delta 0 Gamma 0 Vega which seems to be odd so trying to understand what could be its failure modes.