Friday, June 26, 2009

06/26 SPX Iron Buttefly

Added a Jul/09 PUT vertical spread (1x 850/830) to cut a few deltas and increase theta. Wanted to add more theta to the position. Noticed that Yesterday's risk profile was once again unrealistic. This may be due to how wide the spreads are on SPX.

Position's history day-by-day:

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