If I recall correctly, your structure describes a future not an option. If you buy put options for X at 10, and call options for X at 10, then if the price mov

If I recall correctly, your structure describes a future not an option. If you buy put options for X at 10, and call options for X at 10, then if the price moves down you exercise the call option, and if the price goes up you exercise the put. Unless the price is totally fixed, you make some profit. The real question is whether this profit outweighs the price of both your options. You need the price to move sufficiently for this plan to be worth it. Especially because in any case, either your put option or your call option is worthless. Thus, you need twice as large a price move as when buying only puts or calls. The upside is that you don't need to care about the direction of the movement.