"If, over the past 36 months, each month you opened a SPY butterfly 30 days out with 10 point wings and held it for 17 days, how many months would it have needed adjustment?" The answer is: 6 months would require adjustments (see report below). This type of question can now be answered by Trade Simulator, a free application you can run from your desktop. How can you use this information? You could backtest by opening a trade on 8/6/07 using Optionvue or TOS's thinkBack, then fast forward to 8/17/07 where the strike is hit and see if you could adjust the trade to a successful conclusion. You also gain confidence that this is probably a viable trading strategy.
||Free to try
||Access 2003 Runtime