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With Nasdaq dropping today, yesterday's Put Fly closed in profit. Trade date: 03 January 2022 Security: NQ Price at opening: 16394 Direction: Put Expiry date: 05 January 2022 Strikes: 16170 / 16250 / 16410 Structure: 2 / 3 / 1 Opening Spread: 24.75 Close date: 04 January 2022 Trade duration: 1...

The Oil and S&P500 Put Flies from before Christmas (#120 and #122) expired at a total loss. Outwith the scope of this journal but longer-term volatility trades profited from falling volatility over the holiday period, which offset losses on these shorter-term trades, which are more suitable for...

I just noticed there have been >20k views of this thread. Happy Christmas all, and best wishes for good trading in 2022!

A more conventional directional / swing trade with 20 DTE, in case S&P500 falls through the holiday season and/or into January. Trade date: 22 December 2021 Security: ES Price at opening: 4632 Direction: Put Expiry date: 12 January 2022 Strikes: 4420 / 4500 / 4660 Structure: 2 / 3 / 1 Opening...

Slightly overpaid for this but there is plenty of headroom and thus profit if S&P500 falls a little further this week. Trade date: 21 December 2021 Security: SPX Price at opening: 4595 Direction: Put Expiry date: 23 December 2021 Strikes: 4520 / 4550 / 4580 Structure: 1 / 2 / 1 Opening Spread: 2.40

Closed remaining outstanding orders on the VIX Call Fly from last week. Trade date: 15 December 2021 Security: VIX Price at opening: 22.86 Direction: Call Expiry date: 21 December 2021 Strikes: 22 / 26 / 28 Structure: 1 / 3 / 2 Opening Spread: 0.39 Close date: 21 December 2021 Trade duration: 6...

This feels slightly ambitious but popped a Put Fly on Oil for this week. Trade date: 20 December 2021 Security: CL Price at opening: 66.56 Direction: Put Expiry date: 23 December 2021 Strikes: 62.5 / 64 / 67 Structure: 2 / 3 / 1 Opening Spread: 0.49

With VIX at 25-26 today, most of the VIX position (#117) closed today and the trade is showing a profit but I'll post the closing position when the remainder fills or expires.

That's interesting, @Matt_ORATS Similar to @Cabin111 I hold stock on a portfolio of mainly Dividend Aristocrats in my pension fund, and write calls. What works for me is to time sales - not automatically sell - for the following Friday (so 7-11 DTE). I sell 25 delta and roll if price moves up...

The oil trade closed earlier today in profit. Trade date: 15 December 2021 Security: CL Price at opening: 69.87 Direction: Put Expiry date: 17 December 2021 Strikes: 67.5 / 69.5 / 71.5 Structure: 1 / 2 / 1 Opening Spread: 0.59 Close date: 17 December 2021 Trade duration: 2 Closing spread: 0.69...

Placed a couple of trades yesterday. Trade date: 15 December 2021 Security: CL Price at opening: 69.87 Direction: Put Expiry date: 17 December 2021 Strikes: 67.5 / 69.5 / 71.5 Structure: 1 / 2 / 1 Opening Spread: 0.59 Closer to AtM than usual. Trade date: 15 December 2021 Security: VIX Price...

Along with the general sell-off today, my closing orders on the DAX fly opened this morning, filled at European close. Trade date: 14 December 2021 Security: DAX Price at opening: 15603 Direction: Put Expiry date: 17 December 2021 Strikes: 15350 / 15550 / 15570 Structure: 1 / 2 / 1 Opening...

I don't usually open flies with the body so close to spot but opened a DAX Put Fly for expiry on Friday. Trade date: 14 December 2021 Security: DAX Price at opening: 15603 Direction: Put Expiry date: 17 December 2021 Strikes: 15350 / 15550 / 15570 Structure: 1 / 2 / 1 Opening Spread: 47.00...

Meanwhile, a Nasdaq Put Fly closed very quickly after opening this afternoon, in profit. Trade date: 13 December 2021 Security: NQ Price at opening: 16163 Direction: Put Expiry date: 15 December 2021 Strikes: 15830 / 15950 / 16190 Structure: 2 / 3 / 1 Opening Spread: 36.25 Close date: 13...

Thanks for that; much appreciated and lots to think about. I actually built a BS model from scratch, and have added your gamma / theta ratio and will see what I can learn from that in next few days. Your caution is noted, as there is always more to learn. I'll be looking to amend my screening...

Thanks @MrMuppet I'm not familiar with hedging gamma but would be grateful to explore anything that can improve my Sharpe Ratio further. Perhaps we could consider an example using a recent losing trade, as I'm unsure how to achieve this in practical terms with c.3DTE? Last Monday 06 December...

Just realised this had closed yesterday in profit. Trade date: 09 December 2021 Security: NQ Price at opening: 16333 Direction: Put Expiry date: 13 December 2021 Strikes: 16020 / 16150 / 16280 Structure: 1 / 2 / 1 Opening Spread: 13.25 Close date: 09 December 2021 Trade duration: 0 Closing...

Good question @easymon1 Those two losing trades this week knocked it back a bit, but still upwards! nb the chart uses performance net of commission; the figures used throughout the journal to report trades exclude commission for simplicity.

Added a Put Fly on Nasdaq. Trade date: 09 December 2021 Security: NQ Price at opening: 16333 Direction: Put Expiry date: 13 December 2021 Strikes: 16020 / 16150 / 16280 Structure: 1 / 2 / 1 Opening Spread: 13.25

After typing that, I noticed the credit spread on oil (#101) closed in profit: Trade date: 08 December 2021 Security: CL Price at opening: 71.60 Direction: Call Expiry date: 10 December 2021 Strikes: 73.50 / 74.00 Opening Spread: 0.15 Close date: 09 December 2021 Trade duration: 1 Closing...