A gut spread that is established by combining long in-the-money calls and long in-the-money puts, with all options having the same expiration date, but different strike prices.

Long gut spread = long ITM calls + long ITM puts

This position is usually constructed by traders who expect that the underlying will have high volatility in the short term.

The long gut spread has unlimited profit potential: if the underlying of both options moves substantially either upwards or downwards, the position will probably result in a great amount of profit. This price movement must be substantial enough so that even if one of the options becomes worthless, the profit on the other option will be sufficient to offset such losses.

It also has limited risk potential: the only potential downside risk is the loss of the time value of money invested in this position. If the underlyings of both options remain within the strike prices, then the maximum loss would be limited to the predefined range.