Quote from atticus:
Out of half of the ES position at 66.50, +7.50. I am seeing no bid to vol on the upside strikes [as expected], so I'm not being paid to hold a full ES position. The ER2 market in the 800 Sep calls is where it stood at the open on Globex [20.00 x 25.00], with futures +6.00. I'll leg the remaining ES futures to synth flies at the open. I will convert the ER2 if futures are >779.00.