The fly PNL is nearly-symmetric from 112. It's a + expectancy due to the fly-bump. Run a monte carlo sim when you finish that arithmetic.
I know there are some issues with the math as mentioned in later posts, but what you have demonstrated in my opinion is the pointlessness of buying at the money call options, just buy the stock then. If you really want to exploit options, buy deep out of the money options. That is where the potential mispricing and value is because no one knows how to model the extremes (see Nassim Taleb for a more wholesome discussion). So wallstreetbets are actually on to something and are not entirely wrong in their crazy option plays, just that their portfolio allocation of 100% to one trade is misguided.
So the expectancy in other words is the expected IV at a future price prior to expiry? So here are 10 AUG9 110 strike calls purchased @ 5.60. If price reaches 114 on Aug1, at the current IV of 60.39% the pnl is 842.43 or 6.44 per contract. 6.44-5.60=.84 However IV will increase the further itm the call becomes, so this projection is not accurate without adjusting for change in IV. If IV were to increase just 5% the pnl changes from 842.43 to 1040.
Oh look, it's Poopy, who has me on block for no reason other than I claimed he was Destriero because i recognized his posting style, and he got bitchy because he wanted to "hide from people looking for him." Cloak and dagger shit, it seems. Meanwhile, this pug is looking every which way till Sunday to find how I am fake. He cannot find it. And so, be /blocks me, because he is afraid. Destriero/poopy is fake. I don't suffer fools, Destiero. Idjit. YOU started it.
You are responding to me, but I cannot see what you responded with, because of the flaws with the /block system.