Weekend/Closing Trade Update
Sun, Mar 11, 2012 | Frank
As members who placed orders to close our March positions Friday already know, the adjusted March butterfly hedge (127/132/139/144 iron condor) was not filled at our maximum bid of $0.42. We use day orders, so we’ll have to re-enter the order Monday morning after the opening volatility settles out and option bid/ask spreads narrow (possibly sooner).
Note, however, that if SPY is priced at or below about $137 in early trading, that could bring this position close enough to delta-neutral to justify leaving it open a little while longer. I’ll send out another update tomorrow before the bell.
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