Market Wizard Tony Saliba describes a fly strategy, where he buys backmonth flys and shorts frontmonth flys to scalp. Does anyone know if the front month fly sold is placed ATM ITM or OTM. If someone is familar with the details, I would very much appreciate visual. Thanks for the help
Read the question and Maverick74's reply (at the bottom of the webpage): http://www.elitetrader.com/vb/showthread.php?s=&threadid=49586&perpage=6&pagenumber=1956 Here's a good thread to read (especially pg. 38): http://www.elitetrader.com/vb/showthread.php?s=&threadid=24449&perpage=6&pagenumber=1