Swing trading with Butterflies

Global OptionsTrades said:
Popped a longer duration (16 DTE) short on S&P500.

Trade date: 22 September 2021
Security: SPX
Price at opening: 4404
Direction: Put
Expiry date: 08 October 2021
Strikes: 4210 / 4305 / 4400
Structure: 1 / 2 / 1
Opening Spread: 10.35
More...


Andy

Good to have you back from the beach !
2 quick questions ...

1. Any particular reason that you traded SPX flies that were 95 points wide (4210-4305-4400) -v- say 100 points wide (4200-4300-4400) ?

2. Do you ever look at / consider Fly price arc as part of process
... this is for FTSE ... but am sure available for all other indexes

upload_2021-9-23_13-58-45.png
 
jamesbp said:
Andy

Good to have you back from the beach !
2 quick questions ...

1. Any particular reason that you traded SPX flies that were 95 points wide (4210-4305-4400) -v- say 100 points wide (4200-4300-4400) ?

2. Do you ever look at / consider Fly price arc as part of process
... this is for FTSE ... but am sure available for all other indexes

View attachment 268350
More...

Sorry James, I missed this reply.

1. Rounding to nearest strike is the answer. I might have a target price for DAX for example, which is rounded to the nearest 50 strike. For SPX, strikes are at 5 point intervals. If intervals were wider, I would have rounded to 4200/4300/4400.

2. Is that P&L at expiry for varying spot at expiry? If so, what do the minor grey lines represent?

PS I might have been a bit pessimistic with the SPX trade btw - expiry this Friday would be looking good today!
 
Global OptionsTrades said:
Sorry James, I missed this reply.

1. Rounding to nearest strike is the answer. I might have a target price for DAX for example, which is rounded to the nearest 50 strike. For SPX, strikes are at 5 point intervals. If intervals were wider, I would have rounded to 4200/4300/4400.

2. Is that P&L at expiry for varying spot at expiry? If so, what do the minor grey lines represent?

PS I might have been a bit pessimistic with the SPX trade btw - expiry this Friday would be looking good today!
More...

Andy

The Fly Price Arc is just a table of current Fly prices, bold colour is front month, grey colours are back months ... just provides some colour on how Fly Price may move with Spot / Time ...

Going to be an interesting run into Fri expiry for your SPX Fly ... and whether any selling post Quarter End / JPM Put-Spread Collar unwinding

Cheers
James
 
A quick update.

Half of the short SPX position filled at twice the price paid for it so the other half is now a free bet and will hopefully prove to be a useful hedge against a long portfolio next week.

I'm trying to initiate a short position on oil for expiry next Friday and will post the trade here if it fills today.
 
Overnight said:
Opec+JMMC is having confabs on Monday. Maybe consider holding off on entering that trade until Tuesday, after market has digested what they said that day.
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Thanks for that heads-up!:thumbsup:

I had an order for 231 71/73/77 looking to fill at .90 but it didn't fill. Will keep a watchful eye over oil today and tomorrow.
 
Opened a short position on FTSE for Friday expiry.

Trade date: 04 October 2021
Security: FTSE
Price at opening: 7034
Direction: Put
Expiry date: 08 October 2021
Strikes: 6900 / 7000 / 7100
Structure: 1 / 2 / 1
Opening Spread: 23.00
 
Global OptionsTrades said:
Opened a short position on FTSE for Friday expiry.

Trade date: 04 October 2021
Security: FTSE
Price at opening: 7034
Direction: Put
Expiry date: 08 October 2021
Strikes: 6900 / 7000 / 7100
Structure: 1 / 2 / 1
Opening Spread: 23.00
More...

Andy

I presume these are the FTSE Flex options quoted on ICE that expire at 4.30 PM on nearest two Friday's ( rather than standard Monthly/Quarterly FTSE options that expire at 10.15am on third Friday )

Cheers
James
 
The remaining half of the SPX trade (#60) closed in profit yesterday, providing a useful hedge against long stock positions.

Trade date: 22 September 2021
Security: SPX
Price at opening: 4404
Direction: Put
Expiry date: 08 October 2021
Strikes: 4210 / 4305 / 4400
Structure: 1 / 2 / 1
Opening Spread: 10.35
Close date: 04 October 2021
Trade duration: 12
Closing spread: 26.00
Profit / (Loss): 15.65
Profit / (Loss): 151.2%
 
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