Protecting a DITM call spread

JackRab said:
This is just too funny... you are just pulling stuff out of thin air.

I stated 40-ish for the fly. And at one stage a few posts back 41.60. Not 43. That Iron is 22 right now... I've got the sheet in front of me. So that's 38 for your fly...
There you go, you can have a look... use your glasses please...

View attachment 170191

It was 41.40.... at time of that freakin' sheet print of Xandman... with the future at 61.30.
It had about 1.30 in theta... so that's 40.10... minus the loss due to neg gamma... plus a little bit... what, 1? due to a gain in IV being slightly lower.... IV in 60 strike was about 8.50 and is now 7.50...
And so we end up at 38.

That's a loss of 3.40.... I do not know why you keep thinking it lost 7 or 8?

You are punching below your weight here.... I do not believe anything you say or have said in the past. You are not a prof trader... any fund will be fucked if they would hire you...
I strongly doubt you have aver made any decent money in the prof markets...
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Uhh, dump truck. Do those "quotes" look odd to you? As in they are not ending in "5, 0"?

Did you ever wonder why? Those aren't mids, lol, those are model-values.
 
JackRab said:
Well there you go, look at xandmans sheet... that's EWF7...
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The sheet doesn't have the same strikes (20/60/85) and those are model values. Quotes are quotes, models are theo... and I expected that xandman can add days between dates.
 
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destriero said:
Again, just stop.

Here is the current mark on the iron fly. 2200/2260/2320; 24.85 mid and the fly is two bucks NBBO (obv CME). That implies a debit on the natural of 35.15.

So you are stating that the fly lost OVER seven bucks in a day... a day in which it accumulated 20-deltas, not 50! A day that saw VIX cash and futures drop over fifty.

iron fly market 24.85cr; 35.15db natural. As of 11:09 EDT.

https://www.dropbox.com/s/jl7kvp2b19offi9/2017-01-24_1809.png?dl=0
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My fly will beat the 2200/2260C + 30/60 put vert.

$35.15 mid, debit.
 
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