Diagonal Spreads involve going Short an Out Of The Money Strike Price of the Front Month and Long a different Out Of The Money Strike Price of an expiry month that is further away. For a double diagonal, diagonal Spreads on both Put and Call are initiated.
The profit/loss diagram of a Double Diagonal has some similarities to those of an Iron Condor. The difference is that Double Diagonals benefit from an increase in volatility, whereas Iron Condors do not. As with Iron Condors, however, the price of the underlying must remain within a range for them to be profitable.
See the Double Diagonal Options Strategy at OptionCreator.com
External LinksThe Ultimate Guide to Double Diagonal Spreads
An article by Gavin McMaster explaining how to set up and manage Double Diagonals.Double Diagonal
An optionsplaybook.com article which provides the basic setup and characteristics of Double Diagonals.