I don't trade a lot of classic flies now, but say you're long upside flies (long delta).
Vol-corr: Are you marking down vol at neutrality (Sticky S)?
In index you have to account for sticky D, but skews are essentially locally-flat so not an issue.
It may be an idea to reduce the position a bit if you're up 2X theta (less delta gains).
sorry but I don't get the 2x theta part. Theta is supposed to represent the daily time decay, so taking this sentence at face value would mean really an abysmal amount. What is the implied (pun intended) part that I'm missing?
