That's weird. IB convention, but I am long the natural. Bought the ES 10/07/11 1100-1200 fly at 16.00 risk.
Just covered hedge at 24.50 for a gain of 7.50. Hedge gained reduced avg. entry by 1.50 on the flies (20-deltas per).
With the 1200C no bid, do you just unwind the 1 x 2 and keep the 1200 in your back pocket...or do you submit it as a fly because it increases the odds of executing/decent fill?
I was in the irons, but use the natural debit as the MTM. It's easier to quote the natural, but I often own both. You calc the market based upon the iron or via the synthetic (OTM put, synthetic ITM call) on the DITM call and place your order accordingly.
Netted 3.00 per fly based upon the hedge. Horrible trades as I should have kept the ES hedge as it was ITM the entire hold. Always learning something.
I am in a small position in the Oct 21 1050/1125/1200 fly from 24.00 (8 lot). Will not hedge, only offset.
Sorry, misunderstood your question. I typically trade flies delta-directional so it simply another risk to leg into it. I always trade naturals as a single order and irons as a strangle -> straddle.