Swing trading with Butterflies

Slightly uncharacteristic but added a credit vertical spread today on oil for expiry on Friday:

Trade date: 08 December 2021
Security: CL
Price at opening: 71.60
Direction: Call
Expiry date: 10 December 2021
Strikes: 73.5 / 74
Opening Spread: 0.14

The expected return for this is lower than I usually like, but was higher than for the flies usually traded here.
 
RUT and NQ Put Flies (#97 and #98) expired worthless with 100% loss.

Of the the last 22 trades (most of which are on here, and including these two losses):
Win rate was 82%.
Average profit was 34%.
Average loss was 85%.
Net / aggregate profit was 13%.
Average duration was 1 day.
 
Global OptionsTrades said:
RUT and NQ Put Flies (#97 and #98) expired worthless with 100% loss.

Of the the last 22 trades (most of which are on here, and including these two losses):
Win rate was 82%.
Average profit was 34%.
Average loss was 85%.
Net / aggregate profit was 13%.
Average duration was 1 day.
More...

Have you tried calculating your annual returns and sharpe ratio after costs?
 
Sharpe ratio after commission dropped from 55% (before those two losing trades) to 19% (including them)

Annual return is a little complicated.

CAGR of 13% per day is astronomical and misleading.

22 trades since 26 October 2021 approximates to c187 trades pa pro rata, but I have been adjusting portfolio constituents etc so closer to 240 trades pa is probably more representative.

Position size is something I am looking at. 1%/2%/3% of account balance per trade is often recommended. Kelly Criterion suggests 6% (which reduced following those two losing trades).

Clearly, annualised returns at account level will change if VaR moves between 1% and 6% allocation.

Also, ideally, I place several orders to close. Where opening spread is small, position size is sufficiently large to place (and hopefully fill) these. Without infinite funds, I can't always prudently open at a position size sufficient to place multiple orders to close. As funds increase, position size should increase, and performance should increase.

I would welcome your thoughts @traider and those of others.
 
Last edited:
After typing that, I noticed the credit spread on oil (#101) closed in profit:

Trade date: 08 December 2021
Security: CL
Price at opening: 71.60
Direction: Call
Expiry date: 10 December 2021
Strikes: 73.50 / 74.00
Opening Spread: 0.15
Close date: 09 December 2021
Trade duration: 1
Closing spread: 0.09
Profit / (Loss): 0.06
Profit / (Loss): 15.8%

Also, there was a typo / rounding error in the opening post. This is corrected.
 
Added a Put Fly on Nasdaq.

Trade date: 09 December 2021
Security: NQ
Price at opening: 16333
Direction: Put
Expiry date: 13 December 2021
Strikes: 16020 / 16150 / 16280
Structure: 1 / 2 / 1
Opening Spread: 13.25
 
Good question @easymon1

upload_2021-12-10_12-2-30.png


Those two losing trades this week knocked it back a bit, but still upwards!

nb the chart uses performance net of commission; the figures used throughout the journal to report trades exclude commission for simplicity.
 
Just realised this had closed yesterday in profit.

Trade date: 09 December 2021
Security: NQ
Price at opening: 16333
Direction: Put
Expiry date: 13 December 2021
Strikes: 16020 / 16150 / 16280
Structure: 1 / 2 / 1
Opening Spread: 13.25
Close date: 09 December 2021
Trade duration: 0
Closing spread: 17.50
Profit / (Loss): 4.25
Profit / (Loss): 32.1%
 
Just chimed in.
I was wondering: Your main driver of P/L is vol and skew delta. i.e. you want spot to trade towards your short strike that loses vol through skew and level.
May I ask why you leave the unwanted greeks open?

You could hedge gamma with shorter maturity teenies to avoid these nuking losses. It would decrease your edge but I'm sure your sharp will improve.
 
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