I put an iron butterfly on S&P futures two days before the Iran war. Here's what it did to the position.
Partner and I were in a derivatives course, both with zero background. Thesis: S&P range-bound near 6,900, IV elevated, no major catalysts. Short ATM straddle, asymmetric wings (600pt down / 250pt up), delta-neutral at open. Locked it February 26th.
Iran war started February 28th.
We had no geopolitical scan in our process at all. Didn't dismiss it, just never thought to look.
Position actually survived the initial shock. Theta kept grinding and we clawed back to +$61k by March 17th. Then Strait of Hormuz fears spiked vol again. +$61k to -$31k in 48 hours.
9 futures hedge actions over the life of the trade. None of them accounted for a second geopolitical flare-up because we never built that rule. We thought we had a systematic framework. Turns out "no major catalysts expected" is doing a lot of work when you're short vega.
Flying blind with the illusion of a system is worse than no system at all.
Curious how people here handle black swan risk in short-vega positions. Do you build explicit macro checks into pre-trade, or just size down and accept it?