Swing trading with Butterflies

Opened a trade in SPX much closer to the money than I am usually comfortable with.

Trade date: 05 August 2021
Security: SPX
Price at opening: 4429
Direction: Call
Expiry date: 09 August 2021
Strikes: 4380 / 4430 / 4455
Structure: 1 / 3 / 2
Opening Spread: 19.50
 
Opened this on NFLX yesterday:

Trade date: 06 August 2021
Security: NFLX
Price at opening: 523
Direction: Call
Expiry date: 13 August 2021
Strikes: 512.5 / 527.5 / 535
Structure: 1 / 3 / 2
Opening Spread: 4.71
 
A very disappointing week - the joys of publishing in a jounal!

18 DTE positions in SPX and DAX (per #8) both expired OtM for a 100% loss.

Escaped with a small profit on oil:

Trade date: 03 August 2021
Security: CL
Price at opening: 71.62
Direction: Put
Expiry date: 06 August 2021
Strikes: 69.5 / 71.25 / 73
Structure: 1 / 2 / 1
Opening Spread: 0.46
Close date: 06 August 2021
Trade duration: 3
Closing spread: 0.58
Profit / (Loss) 0.12
Profit / (Loss) 26.1%
 
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Hi,
Hate to sound like a Monday morning quarterback,but what prompted you to put the SPX fly on??

Don't love the risk reward(paying 40 percent of max profit),haven't looked at theta/gamma and I would be suprised if there was any skew edge..

Unless vol is jacked,I am not a,big fan of ATM flys




Global OptionsTrades said:
Opened a trade in SPX much closer to the money than I am usually comfortable with.

Trade date: 05 August 2021
Security: SPX
Price at opening: 4429
Direction: Call
Expiry date: 09 August 2021
Strikes: 4380 / 4430 / 4455
Structure: 1 / 3 / 2
Opening Spread: 19.50
More...
 
Global OptionsTrades said:
Revisiting this, I mentioned a glitch in my modelling and have addressed that.

It looks like I'll be putting on more unbalanced trades in future where expected P&L exceeds that for 121.
More...

why would an exceeded expected P/L warrant a skip strike ratio over a symmetrical?
 
The obvious answer is the embedded short vertical is overpriced by whatever measure one chooses to value expected return.

I do it all the time on OTM flies with what I believe ( hope) is positive skew delta..Often,the 1x2 stands on its own but the far wing provides my beauty sleep and cuts down on margin:)

ATM flys require a Delta hedge
 
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Wasn't able to pop this on before the end of the session on Friday but got a reasonable opening price earlier today.

Trade date: 09 August 2021
Security: RUT
Price at opening: 2247
Direction: Call
Expiry date: 11 August 2021
Strikes: 2210 / 2260 / 2285
Structure: 1 / 3 / 2
Opening Spread: 15.90
 
The AtM SPX trade closed earlier at a profit.

Trade date: 05 August 2021
Security: SPX
Price at opening: 4429
Direction: Call
Expiry date: 09 August 2021
Strikes: 4380 / 4430 / 4455
Structure: 1 / 3 / 2
Opening Spread: 19.50
Close date: 09 August 2021
Trade duration: 4
Closing spread: 25.00
Profit / (Loss) 5.50
Profit / (Loss) 28.2%
 
Opened short positions today:

Trade date: 11 August 2021
Security: CL
Price at opening: 4429
Direction: Put
Expiry date: 27 August 2021
Strikes: 62 / 65 / 67.75
Structure: 1 / 2 / 1
Opening Spread: 0.42

Trade date: 11 August 2021
Security: ADBE
Price at opening: 623
Direction: Put
Expiry date: 13 August 2021
Strikes: 615 / 620 / 630
Structure: 2 / 3 / 1
Opening Spread: 3.19

Trade date: 11 August 2021
Security: NDX
Price at opening: 4429
Direction: Put
Expiry date: 13 August 2021
Strikes: 14830 / 15010 / 15100
Structure: 1 / 3 / 2
Opening Spread: 53.45

NB Partially closed the NDX position later in the day at just over 60 but will wait for the remainder to close or expire before posting a weighted average closing spread.
 
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