Hi all,
Suppose I have an Iron Fly position, and the underlying becomes highly volatile, likely to breach the breakeven points. What positions can I take to manage the risk effectively? Please note that an Iron Fly is a short vega, short gamma position.
One idea I have is that if the underlying crosses the call-side breakeven point, I can start selling a put spread, and vice versa—if it crosses the put-side breakeven point, I can sell a call spread.
I’m open to intraday strategies for risk management as well which work well in high IV environment.
Thanks in advance.