So here's an actual example of what I mean in the last by "rolling to an iron fly."

Currently, I have a SPY             iron condor setup with the short call side at 195/198 (i.e., the short call leg is at 195, the long call leg is at 198). Assuming, we don't drop precipitously from here to below 195 in the next couple of days (unlikely), I'll be closing out the short put side early next week for at or near max profit.

The call side has been totally blown, and there is no way that, come 3-5 DTE             , I'll be able to roll that spread for a credit. Consequently, I will roll it out 45 DTE             , keeping the strikes the same or as nearly the same as possible. (Sometimes, the exact same strikes aren't available, particularly if you're rolling from a weekly with .50 strikes to a monthly which only has 1.00 strikes).

I will then proceed to sell a short put spread, with the short put at exactly the same strike as the short call (in this case, at 195), and the long put strike 3 strikes out from that at 192 for a 192/195 short put spread.

The end result is an 192/195/195/198 iron butterfly or iron fly, where my long put is at 192, my short put at 195, my short call at 195, and my long call at 198.

"Oh, my goodness," you say, "What do I do with an iron fly?" Well, read on to the next post ... .
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