40 points on SPX perhaps? Out all from 3.20 average as source of funds for the 25/35/45 from 4.60. Half size of the earlier fly. All irons. Natural showing below.
Can you ellaborate on the logic of this roll?. It seems as if you are getting more agressive in your declining volatility posture?. What is the target now for the fly?. Thanks.
Spot at 35.70 and futs at 33.90, which is optimal. Spot down 3.20 on the day which was in line with my prediction (neutral strike touch).
I think it's a decent play. I missed your post or I would have done it. Cash > 30 is a very high prob through SOQ.