Swing trading with Butterflies

A frustrating couple of days.

Closing orders on the SPX position at 33 didn't fill after the spread moved to 31 early yesterday, then the index rose above my 'soft-stop' prior to opening so I closed the position at a loss. It turned around and the (now closed) position moved back into profit.

Trade date: 25 January 2022
Security: SPX
Price at opening: 4317
Direction: Put
Expiry date: 28 January 2022
Strikes: 4110 / 4185 / 4335
Structure: 2 / 3 / 1
Opening Spread: 26.90
Close date: 27 January 2022
Trade duration: 2
Closing spread: 12.90
Profit / (Loss): -14.00
Profit / (Loss): -52.0%

That loss was offset by a profitable RUT trade.

Trade date: 25 January 2022
Security: RUT
Price at opening: 1981
Direction: Put
Expiry date: 28 January 2022
Strikes: 1870 / 1905 / 1940
Structure: 1 / 2 / 1
Opening Spread: 2.20
Close date: 27 January 2022
Trade duration: 2
Closing spread: 3.48
Profit / (Loss): 1.28
Profit / (Loss): 58.0%

I got a good signal to short Nasdaq yesterday when spot was 14233. So entered an order for 13630/13830/14030 121 Put Fly at mid (12.75). Took a call and realised afterwards that I hadn't sent the order. Nasdaq fell during the session to close at 14003 :mad:
 
Placed a short butterfly on S&P500 yesterday, expiring tomorrow. Most closing orders filled a couple of hours later yesterday.

Trade date: 31 January 2022
Security: SPX
Price at opening: 4481
Direction: Put
Expiry date: 02 February 2022
Strikes: 4380 / 4415 / 4450
Structure: 1 / 2 / 1
Opening Spread: 3.10
 
Two opening trades filled yesterday for expiry on Friday.

Trade date: 01 February 2022
Security: RUT
Price at opening: 2044
Direction: Put
Expiry date: 04 February 2022
Strikes: 1975 / 2000 / 2050
Structure: 2 / 3 / 1
Opening Spread: 7.70

Trade date: 01 February 2022
Security: NFLX
Price at opening: 441
Direction: Put
Expiry date: 04 February 2022
Strikes: 415 / 425 / 430
Structure: 1 / 3 / 2
Opening Spread: 0.49

Some RUT closing orders filled just before the end of the session yesterday.
 
A busy day yesterday.

From #152, the remaining closing orders didn't fill on this, but a sufficient quantity of less ambitious orders filled, that I escaped without significant loss. Reconfiguring in this way should reduce instances of total loss.

Trade date: 31 January 2022
Security: SPX
Price at opening: 441
Direction: Put
Expiry date: 02 February 2022
Strikes: 4380 / 4415 / 4450
Structure: 1 / 2 / 1
Opening Spread: 3.10
Close date: 02 February 2022
Trade duration: 2
Closing spread: 3.08
Profit / (Loss): -0.02
Profit / (Loss): -0.5%

From #154 both positions with 3DTE closed in profit after 1 day.

Trade date: 01 February 2022
Security: RUT
Price at opening: 441
Direction: Put
Expiry date: 04 February 2022
Strikes: 1975 / 2000 / 2050
Structure: 2 / 3 / 1
Opening Spread: 7.70
Close date: 02 February 2022
Trade duration: 1
Closing spread: 9.93
Profit / (Loss): 2.23
Profit / (Loss): 29.0%

Trade date: 01 February 2022
Security: NFLX
Price at opening: 441
Direction: Put
Expiry date: 04 February 2022
Strikes: 415 / 425 / 430
Structure: 1 / 3 / 2
Opening Spread: 0.49
Close date: 02 February 2022
Trade duration: 1
Closing spread: 0.70
Profit / (Loss): 0.21
Profit / (Loss): 43.2%

Commission dragged net p&l down noticeably on this one.

Opened a couple of positions yesterday for expiry on Friday. The S&P500 partially closed and the Nasdaq trade closed fully the same day in profit.

Trade date: 02 February 2022
Security: SPX
Price at opening: 4557
Direction: Put
Expiry date: 04 February 2022
Strikes: 4475 / 4505 / 4565
Structure: 2 / 3 / 1
Opening Spread: 9.10
Close date: 04 February 2022

Trade date: 02 February 2022
Security: NQ
Price at opening: 15061
Direction: Put
Expiry date: 04 February 2022
Strikes: 14660 / 14810 / 15110
Structure: 2 / 3 / 1
Opening Spread: 49.25
Close date: 02 February 2022
Trade duration: 0
Closing spread: 59.50
Profit / (Loss): 10.25
Profit / (Loss): 20.8%
 
Last edited:
As markets dropped yesterday the S&P500 Put fly opened on Wednesday closed in profit.

Trade date: 02 February 2022
Security: SPX
Price at opening: 4557
Direction: Put
Expiry date: 04 February 2022
Strikes: 4475 / 4505 / 4565
Structure: 2 / 3 / 1
Opening Spread: 9.10
Close date: 03 February 2022
Trade duration: 1
Closing spread: 11.80
Profit / (Loss): 2.70
Profit / (Loss): 29.7%

No more open positions in this account and a good week.
 
Bought a Put Fly on S&P500 yesterday, which closed near the end of the session in profit.

Trade date: 07 February 2022
Security: SPX
Price at opening: 4504
Direction: Put
Expiry date: 09 February 2022
Strikes: 4420 / 4450 / 4510
Structure: 2 / 3 / 1
Opening Spread: 9.70
Close date: 07 February 2022
Trade duration: 0
Closing spread: 11.20
Profit / (Loss): 1.50
Profit / (Loss): 15.5%
 
Another Put Fly for SPX for Friday expiry.

Trade date: 09 February 2022
Security: SPX
Price at opening: 4573
Direction: Put
Expiry date: 11 February 2022
Strikes: 4490 / 4520 / 4580
Structure: 2 / 3 / 1
Opening Spread: 10.30
 
Closing orders filled on the dip at opening yesterday in profit.

Trade date: 09 February 2022
Security: SPX
Price at opening: 4573
Direction: Put
Expiry date: 11 February 2022
Strikes: 4490 / 4520 / 4580
Structure: 2 / 3 / 1
Opening Spread: 10.30
Close date: 10 February 2022
Trade duration: 1
Closing spread: 12.70
Profit / (Loss): 2.40
Profit / (Loss): 23.3%

Some calendar puts closed in profit too, so a good week.
 
A summary of the the last 50 trades (most of which are on here):

Win rate was 80.4%.
Average profit was 28.3%.
Average loss was 69.1%.
Net / aggregate profit was 9.2%.
Average duration was 0.9 days
Sharpe was 25.6%
Annualised return - at portfolio level - is 284%
The last 10 trades have all produced positive return. The only loss in the last twelve trades was 0.5%.

upload_2022-2-11_9-28-24.png


Wondering what to do with this and would welcome any thoughts.
 
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