Options Expected Returns

I am confused about the expected returns of options positions.

I know that the sum of option markets returns should be zero before slipage. This makes sense to me. I am confused with if certain option position can have expected return different from zero.

I am going to assume for my example that the market's expected return is 10% and the risk free rate is 4% (the numbers don't really matter). I will also assume the synthetic short and long are picked such that there is no net credit or debit.

A long SPY stock position's expected return should be 10%

A long SPY stock and a SPY synthetic short should have an expected return of 4% (the risk free rate)

And a SPY snythetic long and a synthetic short should have an expected return of 0%

I think these three statements are obvious.

Using math it would appear that:

A SPY synthetic short should have an expected return of -6%

A SPY synthetic long should have an expected return of 6%

(I know this kind of isn't right because the net credit/debit of these positions is zero but my point is the short has a negative return and the long has a positive return)

So does this mean options going long on a stock have a positive expexted return. If not why is my reasoning not correct.

Thanks so much