During the last couple of years there has been an important surge on the use of HTTPs by malware. The exact reason for this increase is not completely understood yet, but it is hypothesized that it was forced by organizations only allowing web traffic to the Internet and that using HTTPs makes the malware similar to normal connections. Therefore, there has been a growing interest in understanding the usage of HTTPs by malware. This paper describes our research to obtain large quantities of real malware traffic using HTTPs, our use of man-in-the-middle HTTPs interceptor proxies to open and study the content and our analysis of how the behavior of the malware changes after being intercepted. Our research goal is to understand the use of HTTPs in malware traffic and the impact of intercepting its traffic. After our analysis we conclude that the use of a interceptor proxy in a network should be carefully considered.