I - Strategy done on 02-03-10

Call butterfly :
we bought 125000 dec2010 1.45 calls at 0.0350 (implied volatility of 11.94%) thus $+4375
we sold 250000 dec2010 1.50 calls at 0.0216 (implied volatility of 11.93%) thus $-5400
we bought 125000 dec2010 1.55 calls at 0.0140 (implied volatility of 12.11%) thus $+1750
Total debit 4375-5400+1750=$ 725

Put butterfly :
we bought 125000 dec2010 1.35 puts at 0.0451 (implied volatility of 12.57%) thus $+5637.5
we sold 250000 dec2010 1.30 puts at 0.0293 (implied volatility of 13.16%) thus $ -7375
we bought 125000 dec2010 1.25 puts at 0.0190 (implied volatility of 13.85%) thus $+2375
Total debit 5637.5-7375+2375=$ 687.5

Debit for the whole strategy : 725+687.5=$ 1412.5


II - Pricing

From February 3 to june 6th 2010 :



From june 11th to december 4th 2010 :



Implied Volatility versus Strike and Time :




III - Result
Profit=+337.5 $ (+23.89%)

Eur/USD : Double Butterflies
Eur/USD : Double Butterfly (Final)

Strategies Options