Although I don't emulate to trade Karen's strategy at the moment, some reader's comments were interesting. One comment about the Return on Margin (ROM) reminded me of the portfolio margin. Newly available from 2007, the portfolio margin gives traders more flexibility to trade bigger sizes compared with old margin requirements based on "Reg-T". TOS is one of the brokers that support portfolio margin.
For SPX/SPY, the portfolio margin fits into the following category: Large cap broad-based indices are tested with a minimum +6%/-10% price changes. Using this criteria, the Karen strangle shown below would have a portfolio margin of $3838 vs Reg-T margin of $25,283. What a difference! It bumps up the ROM dramatically, even if the minimum price changes are set as 10% to upside and -15% to the downside.
Without the PM, the naked call determines the margin ($25K) for this type of strangle. The naked put has much less margin requirement ($13.5K).