Risk-free arbitrage with Iron Condors converted to Butterflies

These are fairly complex, with up to six strikes, and several transactions during the lifetime of the trade. The objective is to produce a risk-free position; in this case call and put butterflies with a net credit received or negative Value at Risk.

I start with a short Iron Condor (opened with a credit) which is opened with limited Value at Risk (the width of the spread less the credit received). I subsequently buy another Iron Condor for a debit (lower than the initial credit received), resulting in two butterflies - with no downside, but significant upside - that I have been paid to open.

If either (or occasionally both) of those move into profit, profit can be enormous! Given the complexity of cashflows and difficulty in showing profit on a negative VaR, I calculate an Internal Rate of Return (IRR) for these.

Open positions:

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

Structure Iron Condor Fly Conversion Arbitrage
Open Date 29-Sep-26
Security ES
Expiry Date 29-Sep-26
Initial Strikes 7460/7500/7850/7890
Open Credit 16.30
Fly Conversion Strikes 7540/7810
Fly Conversion Date 13-Oct-26
Fly Conversion Debit 13.50

Structure Iron Condor Fly Conversion Arbitrage
Open Date 05-Oct-26
Security XSP
Expiry Date 05-Oct-26
Initial Strikes 747/750/785/791
Open Credit 2.87