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January 27, 2014 at 10:50 am
#2211
Steven Place
Keymaster
With the big selloff back to 1130, we are close to getting negative theta. We are up sligntly on the trade, but will add the third butterfly:
Sell Mar 1120/1170 Bear Call Spread for 25.30
Sell Mar 1120/1070 Bull Put Spread for 12.90
(N.B.: The reason the spreads are such a wide difference in price has to do with the skew)
Here’s what the trade will look like now:
We’re going for about a 25% return on risk, which is about 1k per set.