A ZEBRA (zero extrinsic back ratio) is used as a stock replacement. If we buy 2 ITM options and sell 1 ATM option and wash extrinsic value, the Breakeven Point should be right where the stock is currently trading.
This strategy will make a similar return to being short 100 shares of stock.
In the GLD example, you are paying more extrinsic value in your long options than you are collecting on your short, so this moves the BEP down and lowers the probability in this trade. This strategy should have a 50% pop if set-up properly.