### Comment:
If he didn't sell a super ITM option (and on a retarded deriviative) would this strategy be 'safer'? Could you sell box spread ATM and have it be 'nearly risk free?' 
  
 Edit: By not having as high of an assingment risk I should've added.

### REPLY:
My (limited) understanding is that he got caught because he factored in the risk of price but not the risk of assignment. 
  
 So maybe it'd work with European options? (not that you'd ever get it at a profitable price because market makers aren't idiots)

### END.