Destriero - Butterfly Trades

I was trading these 3 or 4 months back along with a few friends, and we all had the same experience. We'd enter an ATM IF with $50 wings in SPXW.X a few minutes after the cash open, then put in a limit order for 8-10%. Usually took less than an hour, and since we were trying to figure out how it worked, we'd literally sit and watch them. I don't remember ever getting filled at nat; usually somewhere around 0.07 past it, sometimes as much as 0.10. I though that it might be something with TradeStation, but the other folks were using TW and had the same experience.

I tried legging out at one point; got better fills, but it was a mess if it went against you.
 
BlueWaterSailor said:
I was trading these 3 or 4 months back along with a few friends, and we all had the same experience. We'd enter an ATM IF with $50 wings in SPXW.X a few minutes after the cash open, then put in a limit order for 8-10%. Usually took less than an hour, and since we were trying to figure out how it worked, we'd literally sit and watch them. I don't remember ever getting filled at nat; usually somewhere around 0.07 past it, sometimes as much as 0.10. I though that it might be something with TradeStation, but the other folks were using TW and had the same experience.

I tried legging out at one point; got better fills, but it was a mess if it went against you.
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Have you tried any other Underlyings besides SPX? How about SPY?
 
Well today was insane. Realized profits in a few cheap stocks, but the big winner: 24 DEC 20 600/640/680 puts in $TSLA, bought it last week at 5.10, today closed around 22.22. Tesla closed 640.43. This is the power of a pinned fly, especially in an underlying like TSLA.

Mostly pure luck, with a sprinkle of a little due diligence and you can flip your stimulus check a few times around.

I also did something I never did before. While I was watching TSLA intraday, I saw a short squeeze forming, so I was thinking of buying the 630/660 call spread. Instead I decided to buy the 630/660/690 call fly @ 7.57. I was a bit early, but this fly is already almost at 11 bucks. Its amazing how fast these flys move as expiration approaches in stocks like TSLA
 
.sigma said:
Have you tried any other Underlyings besides SPX? How about SPY?
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Sure did - SPX takes an unpleasantly sizeable chunk out of your hide, which sucks if you're just playing around (and no, you can't do this in sim - the fills are totally unrealistic.) I recall a fly in SPY acting very similar for the same entry criteria... unfortunately, I don't remember how it behaved on exit and where the fills were relative to nat. Probably the same, or I'd have stuck with doing them in SPY instead of SPX.

I guess it's true: you don't learn much from successes, but problems and losses stick in your mind.
 
BlueWaterSailor said:
I guess it's true: you don't learn much from successes, but problems and losses stick in your mind.
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You also can't learn much from low frequency.. you gotta slap a bunch of flies around to get a feel for how they work. Just because one trade couldn't get filled shouldn't deter you. In fact, IMO stay away from $SPX, unless you have experience trading it with lesser complex optionality, and have a shit load of capital at your disposal.

You shouldn't have much problems filling in $SPY, if any..
 
.sigma said:
Maybe give an example on what you're trying to trade??

Also are you trading a regular fly? or an iron? Remember the iron fly has 4 legs, while the natural has 3. With that additional leg, we can view the iron fly as a long fly + short box. The short box is the reason the iron fly RECEIVES a credit. The short-box adds a cash loan from the market.

If you're having trouble filling a fly try and fiddle around with the B/A spread. Take a percentage of it, say 5%. Lets say the B/A spread is 2 bucks, 2.00x0.05=0.10. So try not to pay no more than .10 over the quoted mid-price. This is just an example, but as you trade more of these you'll find what works for you. Try to trade the most liquid products, you should be really just trading $SPY $QQQ $IWM for now.
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I suppose I didn't answer this, but I figured it out. I just noticed that whatever I was trying to bid has happened to be trending intraday (equities) and by the time I edged up my bid it wouldn't be good for a fill.

I did end up getting a fill on my first fly ever, GME Dec 22 15/18/22 @ 1.60. Kinda just want to see how they work, as sigma alluded.

Out of curiosity, why does it seem like most of you guys trade flies on SPX rather than something like equities? *Edit. Also just to clarify, does "0.10 past nat" mean ten cents above natural midpoint?
 
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.sigma said:
Huh? even a market order didn't get filled? What was the fly (strikes?) and at what time did you place the order (morning?)
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I think they were 5 wide. I had no idea wtf I was doing. They were trading credit to zero believe.
 
.sigma said:
Well today was insane. Realized profits in a few cheap stocks, but the big winner: 24 DEC 20 600/640/680 puts in $TSLA, bought it last week at 5.10, today closed around 22.22. Tesla closed 640.43. This is the power of a pinned fly, especially in an underlying like TSLA.

Mostly pure luck, with a sprinkle of a little due diligence and you can flip your stimulus check a few times around.

I also did something I never did before. While I was watching TSLA intraday, I saw a short squeeze forming, so I was thinking of buying the 630/660 call spread. Instead I decided to buy the 630/660/690 call fly @ 7.57. I was a bit early, but this fly is already almost at 11 bucks. Its amazing how fast these flys move as expiration approaches in stocks like TSLA
More...
Where was the stock when you traded the 40 wide fly?
To put another way, where does the underlying need to be when you put a fly on?
 
.sigma said:
You also can't learn much from low frequency.. you gotta slap a bunch of flies around to get a feel for how they work. Just because one trade couldn't get filled shouldn't deter you. In fact, IMO stay away from $SPX, unless you have experience trading it with lesser complex optionality, and have a shit load of capital at your disposal.

You shouldn't have much problems filling in $SPY, if any..
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As I recall, I did about a dozen fly trades between the two. Still low frequency, AFAIC, and I could definitely benefit from exposure to a few hundred of them; my problem is that there are SO many fascinating avenues to trading that I keep getting pulled away.

E.g., it just seems like getting spreads down would be a great precursor to studying flys. But spreads involve a strong directional lean, which I've never had any luck with. So, these days, my main focus is on studying price action... don't know if you're familiar with the term "yak shaving", but that's where I'm currently stuck.
 
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