After trading automated, noticed all the cool kids here at ET trade options. So here's my attempt at that. ES 22Nov Fly @ 2010/2035/2060 L 1 2060 C : 2.35 S 2 2035 C : 11.4 L 1 2010 C : 28.9 Net Credit : 8.7 Delta : -6.89 Gamma : - 1.52 Theta + 22.8