pretty much how it's calculated. The way I look at it is the maximum theoretical delta you can have (so a straddle counts the same as a naked option). That represents an upper bound on your risk and it most closely equates your position to a long/short equity position. It gives you a sense for what your maximum VaR and volatility are, and it allows you to compare unlevered returns to a typical long/short fund.
ES @ 2022 FLYs expire this FRIDAY and marked at 13.25 If market can continue to sell of towards 2000-2010 area then FLY can really jump due to high decay. Holding for now.
Yellen burst my bubble and ES jumped to 2042. Giving it one small chance by buying 2000/2040/2080 FLYS in same number @ 22.75 which results now in a: 1960/2000/2040/2080 Long Condor with cost of 33.75 and max profit of 6.25 between 2040/2000. Upside BE is 2055. Just gives me a little more room to see if we retrace today into tomorrow at all and some cushion. If not I bail on the whole thing.
Uncle point was hit so bailed with Es breaking 2055 this morning. Took a hit but stayed in as long as I could.