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Good thing to do is go to www.cboe.com delayed quotes section and download
the data into a spreadsheet.
Take the mid-point of the bid and the ask as the effective price at which
you will buy/sell the option.
Do various combinations to see what McMillan is talking about. The good
thing about CBOE is that the data is free, you can download it on a schedule
after market closes, you can place paper trades for various option
strategies and see for yourself how things work out with different
underlying movements.
One way to set up butterflies for a credit is by legging into individual
legs. That is how I tend to set them up. Other times when I'm not confident
about my directional trading I just pay the premium if I have to take the
trade.
Don't know McMillan's specific reference.
Gitanshu
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