As part of an SPX M3 iron butterfly I´ve been rolling down calls with spikes in VIX. With recent volatility I haven´t been as DITM as I am now (March 1500s) and the market price is now about $400-500 less than intrinsic ($3750 with SPX at 1992). I´d assumed this wouldn´t happen as it would open up arbitrage opportunities. And as a hedge opportunity would be more economical than buying a teeny since the corresponding put costs about $400. I´ve attached a graph of buying a March 1500 call and shorting 2 x March /ES futures. If you held to expiration you´d have a free hedge that you´re guaranteed a $400-500 profit on (i.e., the loss on right of graph isn´t accurate) So what´s the catch?