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As you know, a fly is a spread between two spreads, (A-B) - (B-C), but the end result is that one is typically focusing on body vs wings or vice-versa. A DF is really just (A-2B+C) - (B-2C+D) and could be considered a spread of flies, in the same way that a fly is a spread of spreads. If you...

Found a reference to this EDF spread on Curve Advisor's website: http://www.curveadvisor.com/butterfly-trading-basics/

While it may appear that this was fat finger in nature it really wasn't. You were rushing to put the trade on before the close and that smells of FOMO/impulsiveness.

My underlying fear in all of this is that everything has been effectively captured and any attempts to restore a healthy and vibrant middle class (let's be real - that's the only healthy path to go down) will be met with strategically engineered resistance to prevent the current inequality from...

It's basically a credit spread (calls) + debit spread (puts) which definitely means directionally bearish. If you want to "fix" it you can simply sell the 48/47 put spread which will sell a 48 and buy a 47 leaving you with your original long 47.5 put and a new short 48 put (the 47 will be...

Nothing like a good ole ambiguous timeframe.

Yep, I agree on that, but given that this is a DF thread I was considering the context of more complex 6-8+ leg stuff and the fact that stationarity is of course higher in those constructions. For instance, I'd never consider doing a 1:4:6:4:1 or 1:5:10:10:5:1 without prop rates (and maybe not...

I'd agree that's one of the key advantages, that is: variance and trendiness (if it's a decent spread). Margin offset/reduction is also fair/decent but of course commissions are a con (unless a prop trader).

It should also be noted that the numbers compared were for the outright and that condor example. I'm not sure if the margin shown for the condor was based on what an execution platform showed or what the CME website shows but I would like to point out that that CL HJ+KM additive "condor" is...

One advantage I can see is that if you can get a good price on a single cal spanning the 2 middle cals then you only need to execute with 3 cals rather than 4 as the 2 middle cals normally cancel out the center leg when executed. For instance, if it were a 6 month span for everything you could...

That in itself isn't an arb but it's not likely you'll find frictionless entries that often as otherwise there wouldn't be a vig for the market makers to collect. The arb stuff I was referring to was really about your original question about the pricing descrepancy.

Most likely close to impossible. All the algos have this space locked down atleast from an arb perspective.

That's probably because the Sarao thing is relatively recent. That being said I still don't believe he is responsible for the crash and timing data also shows he was out of the market by that point anyway. They want a scapegoat.

I'm not 100% sure myself on what exactly it's doing vs a DF, but I'd imagine it's doing somewhat less intra-spread hedging as only the wing is shared vs body+wing in the DF case and seems somewhat condorish. However, given some basics and some brainstorming: Fly is the difference of two...

BTW: I noticed in the ICE SPAN guide that there's actually another variant of overlapped flies that involves sharing only the outer wing of each fly as compared to sharing the body and wing (which is a double butterfly/DF). They call it an extended double butterfly and the construction is...

(CE: Not based on intraday data AFAIK)

You keep thinking we're trying to shit talk you because we don't like you or something. That isn't it. What it is is that this strategy has already been beaten to death over the years and it always ends up the same: lots of pain when the market throws a curve ball that doesn't come back. You...

That's justice folks. An ES spoofer facing 350 years and multiple big banks who had a hand in one of the biggest financial crisis getting bailed out with zero criminal charges.

How many times has it been pointed out that you had your ass saved during the post Brexit rally. That's not even normal behavior or anything that can be depended upon. A much better example would have been 8/24/15 whereby you either would have bailed out due to already getting beat down on...

Of course there is a relationship - anyone who understands anything about option greeks already knows that. That doesn't change the fact that you're still way more short vol than anything else. All it'll take is one gap down open that doesn't come back to smoke you out.