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Iron Butterflies

Andy McDonald

• 1 min read
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I closed a few of these last week, a couple of Iron Flies on US Treasuries at a profit, and an earlier Russell2000 position at a loss.

Structure: Iron Fly
Open Date 23-Oct-26
Security RTY
Expiry Date 13-Nov-26
Strikes 2675/2775/2875
Open Credit 70.8
Close Date 04-Nov-26
Close Debit 80.4
Profit / (Loss) -9.6
Profit / (Loss) % on VaR -32.9%

Structure: Iron Fly
Open Date 30-Oct-26
Security ZB
Expiry Date 13-Nov-26
Strikes 106/108/110
Open Credit 1.38
Close Date 04-Nov-26
Close Debit 1.28
Profit / (Loss) 0.09
Profit / (Loss) % on VaR 15.0%

Structure: Iron Fly
Open Date 30-Oct-26
Security ZB
Expiry Date 20-Nov-26
Strikes 106/108/110
Open Credit 1.67
Close Date 04-Nov-26
Close Debit 1.56
Profit / (Loss) 0.11
Profit / (Loss) % on VaR 13.2%

Structure: Iron Fly
Open Date 02-Nov-26
Security ES
Expiry Date 23-Nov-26
Strikes 7330/7580/7830
Open Credit 171.00
Close Date 05-Nov-26
Close Debit 156.50
Profit / (Loss) 14.50
Profit / (Loss) % on VaR 18.4%

I opened more positions (re-using similar expiries)

Structure: Iron Fly
Open Date 04-Nov-26
Security ZB
Expiry Date 20-Nov-26
Strikes 106/108/110
Open Credit 1.34

Structure: Iron Fly
Open Date 04-Nov-26
Security RTY
Expiry Date 20-Nov-26
Strikes 2625/2750/2875
Open Credit 80.25

Structure: Iron Fly
Open Date 06-Nov-26
Security ZB
Expiry Date 27-Nov-26
Strikes 105.5/108/110.5
Open Credit 1.56

Structure: Iron Fly
Open Date 06-Nov-26
Security RTY
Expiry Date 27-Nov-26
Strikes 2750/2850/2950
Open Credit 64.00