Swing trading with Butterflies

Popped a 132 Put Fly on TSLA today and closing orders filled a couple of hours later as TSLA dropped below USD900.

Trade date: 27 April 2022
Security: TSLA
Price at opening: 902.78
Direction: Put
Expiry date: 29 April 2022
Strikes: 825 / 865 / 885
Structure: 1 / 3 / 2
Opening Spread: 5.35
Close date: 27 April 2022
Trade duration: 0
Closing spread: 6.35
Profit / (Loss): 1.00
Profit / (Loss): 18.7%
 
Opened a Put Fly on SPX today, for expiry on Monday:

Trade date: 28 April 2022
Security: SPX
Price at opening: 4264.7598
Direction: Put
Expiry date: 02 May 2022
Strikes: 4150 / 4190 / 4270
Structure: 2 / 3 / 1
Opening Spread: 11.60
Close date: 02 May 2022
 
Closing orders filled earlier today in profit.

Trade date: 28 April 2022
Security: SPX
Price at opening: 4264.7
Direction: Put
Expiry date: 02 May 2022
Strikes: 4150 / 4190 / 4270
Structure: 2 / 3 / 1
Opening Spread: 11.60
Close date: 29 April 2022
Trade duration: 1
Closing spread: 16.10
Profit / (Loss): 4.50
Profit / (Loss): 38.8%
 
Opened a put fly on S&P500 expiring on Friday.

Trade date: 03 May 2022
Security: SPX
Price at opening: 4174
Direction: Put
Expiry date: 06 May 2022
Strikes: 4020 / 4070 / 4170
Structure: 2 / 3 / 1
Opening Spread: 14.00
 
Closing orders filled today, in profit.

Trade date: 03 May 2022
Security: SPX
Price at opening: 4174
Direction: Put
Expiry date: 06 May 2022
Strikes: 4020 / 4070 / 4170
Structure: 2 / 3 / 1
Opening Spread: 14.00
Close date: 04 May 2022
Trade duration: 1
Closing spread: 18.75
Profit / (Loss): 4.75
Profit / (Loss): 33.9%
 
Was able to devote more time to this recently. A couple of recent Flies closed in profit.

Trade date: 10 May 2022
Security: AMZN
Price at opening: 2200
Implied Vol 67.0%
Direction: Put
Expiry date: 13 May 2022
Strikes: 2070 / 2110 / 2190
Structure: 2 / 3 / 1
Opening Spread: 12.65
Close date: 11 May 2022
Trade duration: 1
Closing spread: 16.40
Profit / (Loss): 3.75
Profit / (Loss): 29.6%

Trade date: 17 May 2022
Security: SPX
Price at opening: 4068.9
Implied Vol 28.9%
Direction: Put
Expiry date: 20 May 2022
Strikes: 3960 / 3995 / 4065
Structure: 2 / 3 / 1
Opening Spread: 8.90
Close date: 18 May 2022
Trade duration: 1
Closing spread: 12.25
Profit / (Loss): 3.35
Profit / (Loss): 37.6%

I'll try to revert to reporting trades here once opened and live.
 
I also applied a similar methodology to Calendar Puts over 5/7 days, predominantly for the cash-settled Mon/Wed/Fri cycles (Nasdaq, Russell 2000 and S&P500) which has gone well.

These take considerably less time to run simulations for, but I only expect to get 6-8 set-ups per month. 24 out of 26 trades have closed in profit, with average profit of 21.3%. I'll try to add them here in future. the last few trades were:

Trade date: 10 May 2022
Security: RUT
Price at opening: 1737
Direction: Put
Expiry date (short side): 13 May 2022
Implied Vol (short side) 49.5%
Expiry date (long side): 16 May 2022
Implied Vol (long side) 40.6%
Strikes: 1695
Opening Spread: 4.00
Close date: 11 May 2022
Trade duration: 1
Closing spread: 5.00
Profit / (Loss): 1.00
Profit / (Loss): 25.0%

Trade date: 10 May 2022
Security: SPX
Price at opening: 3999
Direction: Put
Expiry date (short side): 13 May 2022
Implied Vol (short side) 36.3%
Expiry date (long side): 16 May 2022
Implied Vol (long side) 33.6%
Strikes: 3930
Opening Spread: 9.00
Close date: 12 May 2022
Trade duration: 2
Closing spread: 13.15
Profit / (Loss): 4.15
Profit / (Loss): 46.1%

Trade date: 17 May 2022
Security: SPX
Price at opening: 4008
Direction: Put
Expiry date (short side): 20 May 2022
Implied Vol (short side) 38.8%
Expiry date (long side): 23 May 2022
Implied Vol (long side) 30.8%
Strikes: 3935
Opening Spread: 4.95
Close date: 18 May 2022
Trade duration: 1
Closing spread: 7.93
Profit / (Loss): 2.98
Profit / (Loss): 60.3%
 
Opened a couple of Calendar trades today to close by Friday hopefully:

Trade date: 23 May 2022
Security: NQ
Price at opening: 12025
Direction: Put
Expiry date (short side): 27 May 2022
Implied Vol (short side) 42.8%
Expiry date (long side): 31 May 2022
Implied Vol (long side) 35.1%
Strikes: 11750
Opening Spread: 29.75

Trade date: 23 May 2022
Security: RUT
Price at opening: 1789.5
Direction: Put
Expiry date (short side): 27 May 2022
Implied Vol (short side) 38.0%
Expiry date (long side): 31 May 2022
Implied Vol (long side) 32.8%
Strikes: 1755
Opening Spread: 4.20
 
Opened a Put Fly on TSLA for expiry on Friday, but closing orders filled later in the session before I was able to report it here.

Trade date: 24 May 2022
Security: TSLA
Price at opening: 633
Implied Vol 106.6%
Direction: Put
Expiry date: 27 May 2022
Strikes: 570 / 590 / 630
Structure: 2 / 3 / 1
Opening Spread: 5.80
Close date: 24 May 2022
Trade duration: 0
Closing spread: 7.30
Profit / (Loss): 1.50
Profit / (Loss): 25.9%
 
Got a small profit on Nasdaq but the bounce in everything looks suggests that the RUT Calendar will be worthless. I'll probably leave the long side on in case there is a drop on Tuesday.

Trade date: 23 May 2022
Security: NQ
Price at opening: 12025
Direction: Put
Expiry date (short side): 27 May 2022
Implied Vol (short side) 42.8%
Expiry date (long side): 31 May 2022
Implied Vol (long side) 35.1%
Strikes: 11750
Opening Spread: 29.75
Close date: 26 May 2022
Trade duration: 3
Closing spread: 33.00
Profit / (Loss): 3.25
Profit / (Loss): 10.9%
 
You must log in or register to reply here.
Back
Top