Straddle Play for Tomorrow

With IWM trading at $41.50, here is a play for tomorrow (prices as of around 2:30PM):

IWM 41 calls at .85
IWM 42 puts at .80

Note that it is an in-the-money straddle that cannot expire worthless on both legs.

With the expected volatility of OpEx day, it should be able to easily get out of this position at a profit, whenever or as soon as a swing happens either way (do not wait until the end of the day). Worst case scenario is IWM at 41.50 for a loss of 40%.

Here is what the ROI chart looks like as a function of IWM values:


(click to enlarge)

11AM and 1PM show the values if the positions are sold at those times as there will still be intrinsic value left on the losing side (estimates only).

EDIT March 20 1:40PM: The IWM 42 puts are trading at $1.57. With Max Pain much higher, this may well be a good opportunity to sell them for a breakeven position and let the calls ride for potential profit.
EDIT March 20 1:50PM: IWM at $40.30. The IWM 42 puts are trading at $1.70. Position is profitable.
EDIT March 20 2:00PM: IWM at $40.17. The IWM 42 puts are trading at $1.85.
EDIT March 20 2:10PM: IWM at $40.00. The IWM 42 puts are trading at $2.00.
EDIT March 20 4PM, final: IWM closed at $39.98, IWM 42 puts at ~$1.85.

The red circles below show how the positions ended the day, and where they had maximum profit:



(please click to enlarge)