what underlying? Might be a good idea to assume SPY options are fair value and imply the distribution to be used against a less liquid but correlated underlying.Thank you.
Neither. I have accidentally misled because my initial hijacking of this was to hypothesize about using lottery-type flies to hedge short vol positions.
Conditions (low-vol) haven't been right for me to open short vol positions, but I opened a few long flies speculatively.
The current book for expiry in March isn't looking so rosy right now!