Let's talk about that, usually a contingent order is automatic and you end up paying more than the MID to get an execution. Therefore, the more complex your spread, the more you end up paying. In my mind, a much better approach would be buying a long CALL to hedge the deltas during the intra-day price action, and then, at the end of the day, execute the butterfly roll. Once the roll was finished, it would be just a matter of selling the long call previously purchased.
Because I executed the roll with a contingent order, ended up paying more than I wanted, and my P&L took a hit. The only way to know this for sure is because I keep a detailed accounting spreadsheet. Once I remove the butterfly roll from my accounting, my P&L goes up to 3%. In a larger trade this could mean a lot of money.
Position's history day-by-day:
06/30 RUT Iron Butterfly
06/29 RUT Iron Butterfly
06/25 RUT Iron Butterfly
06/24 RUT Iron Butterfly
06/23 RUT Iron Butterfly
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