After learning about the wide butterflies I decided to try them out live.
The setup is: Two market-neutral trades as decoupled as possible. The candidates where XSP and TLT, but XSP was too thinly traded so in the end I settled on SPY and TLT:
- BOT +6 BUTTERFLY SPY 100 JUL 10 106/112/118 CALL @2.31 ISE
- BOT +7 BUTTERFLY TLT 100 JUL 10 103/98/93 PUT @2.47 ISE
I never got filled on a CALL TLT so I changed to PUT (same price, to my disadvantage) and got filled in a pinch.
The trade cost me $36.- in commissions for the SPY and $42 for the TLT (so, TOS charges $6.- per butterfly).
SPY Risk to reward ratio $1422 (incl. commissions) max loss / $2214 max profit = 1:0.64, the TLT is $1771 max loss / $1771 max profit = 1:1
Here are the P/L charts, as well as the price action of the underlying.