Monday, June 29, 2009

06/29 SPX Iron Butterfly

Something weird keeps on happening on this trade. The risk profile is not accurate, could it be a function of the SPX's wide spreads? Thoughts? Anyone? I hedged (or thought so) the position around noon Today, and when I looked back at it after it closed, the deltas were big once again. I have orders to execute butterfly rolls to move my Short CALLs if we move higher Tomorrow.

The P&L took a drop Today, if you look at the risk profile from last Friday (see link at the bottom), it was estimating the trade to be profitable at these levels.. I'm certain I don't want this type of scenarion in a live trade, so I'm staying away from SPX on live iron butterfly positions.
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