Risk-free arbitrage with Iron Condors converted to Butterflies

Plenty of activity on these as the flies have been getting fills. Opened another position this week.

Structure: Iron Condor Fly Conversion Arbitrage
Open Date 28-Sep-26
Security XSP
Expiry Date 19-Oct-26
Initial Strikes 746/750/783/787
Open Credit 1.59
Fly Conversion Strikes 754/779
Fly Conversion Date 14-Oct-26
Fly Conversion Debit 1.29
Fly Credit(s) 0.13
Fly Debit -
Profit / (Loss) 0.70
Profit / (Loss) % on Initial VaR 29.0%
IRR on VaR 84107691.9%

Structure: Iron Condor Fly Conversion Arbitrage
Open Date 21-Oct-26
Security XSP
Expiry Date 11-Nov-26
Initial Strikes 756/761/785/790
Open Credit 2.68