On Friday, I put on my September position. Generally, I like to wait until the market moves significantly up or down before I put the position on. This causes the butterflies to have better pricing. Since the market ended at 1,225 on Friday, I placed my butterflies at 1,200. Like always, the butterfly has 50 point wide wingspan so the wing are located at 1,250 and 1,150. The call I put on in order to start the position with -5 Delta was an 1,140 call. My Theta is 36 and my Vega is -342.
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