Swing trading with Butterflies

I have him on IG,so I cant go back and look at his golden nugget posts,but it was obvious to what the returns were after looking at winners avg percent profit vs losers avg percent profit and Percent of winners...
 
I use Kelly for position sizing @qlai , reduced for the number of securities that I'm trading.

Also, my account balance is spread across other securities / strategies.

For illustrative purposes, for a USD100k account, I might allocate 25% to this. Kelly then suggests a VaR of say 50%, but as I might have positions on SPX, RUT, and Nasdaq at the same time in the same direction, I'll split that to give USD4167 premium for each.

The comment that you quoted related to average P&L some time ago of 9.2% across 50 trades. n.b. average trade duration was 1 day.
 
Opened a couple of Calendars on Nasdaq and Russell 2000.

Trade date: 10 October 2022
Security: RUT
Price at opening: 1695.9
Direction: Put
Expiry date (short side): 14 October 2022
Implied Vol (short side) 45.0%
Expiry date (long side): 17 October 2022
Implied Vol (long side) 37.6%
Strikes: 1690
Opening Spread: 3.16

Trade date: 10 October 2022
Security: NQ
Price at opening: 10930.9
Direction: Put
Expiry date (short side): 14 October 2022
Implied Vol (short side) 45.1%
Expiry date (long side): 17 October 2022
Implied Vol (long side) 37.7%
Strikes: 10930
Opening Spread: 20.70

Incidentally, my model is showing strong returns on these, but better returns from an OtM Calendar Call, which seems unusual, so something to consider.
 
Like you I do a lot of 1-2 week flies (and other stuff), mainly looking at engulfing bars etc and targeting S/R. I entered 7/10/22 OTM SPY P FLY 350/360/370 OCT21 and it got to the short strike too quick ... 87% but I wanted more.... time to exit if it drops much further, plus CPI is coming up.

You mentioned Donnichan Channels in another thread. Are you waiting for breakouts from the channel, or are you using the other side of the channel for targets? You reminded me I need to get more systematic in taking trades :)
 
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Although the thread title is Swing Trading, I use different approaches for my swing trades and the Calendars and Flies that I write about on here @Adam777 I probably need to clarify with a new thread or something as I can't change the thread title.

You're right in that I use Donchian channels as a primary trigger for swings, but now use simple verticals to get that exposure - ironically to avoid the kind of frustration that you are experiencing; with being right on direction, but choosing an expiry that overshoots the anticipated move. nb I also used to use S/R before I learned that what I was using was similar to Donchian channels.

I currently have 17/10/22 3640/3710 Call Credit spread on ES so will be pleased if your 360 SPY target comes in! I also have a 17/10/22 1685/1720 Put Debit Spread on RUT so am heavily invested in markets falling this week.

The ideal scenario is to have the Calendars and/or Flies in place against a net long directional environment, with a loss on one offset by a profit on the other, but ideally enjoying profits on both during the intervening volatility!
 
The Nasdaq Calendar put (#264) closed today at a good profit. RUT has been moving around so not sure how that one will go.

Trade date: 10 October 2022
Security: NQ
Price at opening: 10930.9
Direction: Put
Expiry date (short side): 14 October 2022
Implied Vol (short side) 45.1%
Expiry date (long side): 17 October 2022
Implied Vol (long side) 37.7%
Strikes: 10930
Opening Spread: 20.70
Close date: 13 October 2022
Trade duration: 3
Closing spread: 40.13
Profit / (Loss): 19.43
Profit / (Loss): 93.8%

@Adam777 with the fall in S&P500, the ES Credit Spread closed today at 69% profit on VaR. Hope you made something out of your fly.
 
I brought closing orders in during the gyrations yesterday, and the other Calendar spread (#264) closed in profit.

Trade date: 10 October 2022
Security: RUT
Price at opening: 1695.9
Direction: Put
Expiry date (short side): 14 October 2022
Implied Vol (short side) 45.0%
Expiry date (long side): 17 October 2022
Implied Vol (long side) 37.6%
Strikes: 1690
Opening Spread: 3.16
Close date: 14 October 2022
Trade duration: 4
Closing spread: 5.15
Profit / (Loss): 1.99
Profit / (Loss): 63.0%

nb full disclosure; I closed the RUT vertical (#266) at a 57% loss - first loss in over a month.
 
Given the recent discussion about swing trading with verticals, I've put together a template and will report those trades here as well as the Butterflies and Calendar spreads.

Opened these on Friday:

Trade date: 14 October 2022
Security: ES
Price at opening: 3,672.0
Structure: AtM/OtM Put Credit Spread
Expiry date: 21 October 2022
Strikes: 3610 / 3670
Opening Spread: 22.00

Trade date: 14 October 2022
Security: RUT
Price at opening: 1,738.0
Structure: AtM/ItM Call Debit Spread
Expiry date: 21 October 2022
Strikes: 1705 / 1740
Opening Spread: 20.20

Also a position on Nasdaq, and closing orders filled overnight at a profit.

Trade date: 14 October 2022
Security: NQ
Price at opening: 10,896.0
Structure: OtM Put Credit Spread
Expiry date: 19 October 2022
Strikes: 10670 / 10760
Opening Spread: 20.50
Close date: 18 October 2022
Trade duration: 4
Closing spread: 4.50
Profit / (Loss): 16.00
Profit / (Loss): 23.0%
 
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