Risk-free arbitrage with Iron Condors converted to Butterflies

Closed a few of these early in recent turmoil as long wing strikes were tested. A Achieved a mixture of small profits and losses.

Structure: Iron Condor Fly Conversion Arbitrage
Open Date 23-Oct-26
Security XSP
Expiry Date 13-Nov-26
Initial Strikes 753/761/785/789
Open Credit 3.91
Fly Conversion Strikes 769/781
Fly Conversion Date 13-Nov-26
Fly Conversion Debit -
Fly Credit(s) -
Fly Debit 3.66
BtC Debit Date 02-Nov-26
Profit / (Loss) 0.25
Profit / (Loss) % on Initial VaR 6.1%

Structure: Iron Condor Fly Conversion Arbitrage
Open Date 27-Oct-26
Security XSP
Expiry Date 18-Nov-26
Initial Strikes 756/761/784/789
Open Credit 2.80
Fly Conversion Strikes 766/779
Fly Conversion Date 18-Nov-26
Fly Conversion Debit -
Fly Credit(s) -
Fly Debit 2.64
BtC Debit Date 03-Nov-26
Profit / (Loss) 0.16
Profit / (Loss) % on Initial VaR 7.3%

Structure: Iron Condor Fly Conversion Arbitrage
Open Date 26-Oct-26
Security XSP
Expiry Date 16-Nov-26
Initial Strikes 753/761/785/789
Open Credit 3.84
Fly Conversion Strikes 769/781
Fly Conversion Date 16-Nov-26
Fly Conversion Debit -
Fly Credit(s) -
Fly Debit 3.77
BtC Debit Date 02-Nov-26
Profit / (Loss) 0.07
Profit / (Loss) % on Initial VaR 1.7%