JUNE ‘10 RUT BUTTERFLY SPREAD – IRON CONDOR CLOSED
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<< Iron Condor - Butterfly Spread - Current June Butterfly Trade July ‘10 RUT BUTTERFLY SPREAD - IRON CONDOR OPENED >>Closed out our last June Iron Condor Butterfly Spread today for right under a 5% gain. Todays big down move in reaction to employment numbers put the position right at the sweet spot at the open. Rising vols initially hurt the position a bit, however as the morning progressed, what appeared to be some friday theta release helped push the position up over 5% where we decided to just close it out rather than wait and see what monday morning might bring. Several risk graphs below at various stages of unwinding position…
Above: Initial Position at Open
Above: Starting to unwind position. We held this position for about an
hour while trying to get a ‘better than quoted’ fill. Once again, fills were
difficult today. Trades that are usually very easily filled at the mid simply
won’t go and it takes quite a bit of time to finally get a decent fill.
Above: Majority of position removed.
