Ricky, that's a difference case. What you present is like a wide spread, sort of like a condor or a double calendar, but with butterflies on either leg instead of vertical spreads. What I am talking about, is for example your Call spread, if it closed in the center of the butterfly where profit is maximized, which would be $60, then the 55 is ITM and the 60 could be ITM if it's ITM by 1 penny or more.
From: OptionClub@yahoogro
Sent: Monday, February 15, 2010 2:03 PM
To: OptionClub@yahoogro
Subject: Re: [TheOptionClub.
On Sun, 14 Feb 2010 12:18:58 -0800, Nick Horowitz
<nhorowitz@axeus.
>If you have butterflies that are all calls or all puts, by definition, then one leg will be ITM at expiration.
??????????? Say ABC closes at 50 on expiration Friday. Which leg
is ITM in the ABC flies, 55C -2*60C + 65C, 35P -2*40P +45P?
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