Our primary strategy when trading the last day of expiration on options with the S%P is the Butterfly. We use symmetric, broken wing and unbalanced butterfly strategies. Our technique is to place them way Out of The Money (OTM) and then collect premium if price glances its wings, or decides to go for the heart of the Butterfly.

Every once in a while the butterfly gets away, or more precisely, price moves away. So, we can abandone the trade, or we can make an adjustment just in case it decides to flirt back towards us so we can smash it and collect all the profit.