Jack, my apologies! I ran the combos but obv it does reduce further. I saw both a put and call vert but inverted one of the signs, and at one point mixed the 30/60 natural with a synthetic. Moral... look for (same sign) put and call vert pairs to reduce to a single synthetic vertical (exposure). And Dest is an a$$hole. Mea Culpa.
Here. You were quoting the EOM fly when I was quoting the Feb1. It settled at 35.15 (implied by the iron fly credit of 24.85 mid). So 41.6 less the 35 settle. You implied it dropped 6-7 on "gamma" assuming today's settle at 35.15.
Just curious about " long 2200/2260 CS = short 2200/2260 PS (fact) ", when two spreads are traded separately : Do they have same margin requirement? Probably not! Do they have same pin risk profile? Probably not! ...
Hey, we're starting again... I don't know about the margin, probably you are right that they are different. But I was talking about risk profiles. Pin risk isn't of the highest concern... and that's manageable, though not perfectly. But if there's a 50/50 chance you will be assigned, you hedge accordingly on close. And therefore IMO short ATM put is the same as short ATM call in terms of pin riks.
Just checked re margin... they are exactly the same, which would make sense since they have the same risk