Swing trading with Butterflies

Opened a Calendar for this week.

Trade date: 11 July 2022
Security: SPX
Price at opening: 3859.0
Direction: Put
Expiry date (short side): 15 July 2022
Implied Vol (short side) 26.2%
Expiry date (long side): 18 July 2022
Implied Vol (long side) 23.8%
Strikes: 3805
Opening Spread: 5.00

It looks like the long legs from Calendars last week (#218) will expire worthless for 100% loss on both of those.
 
S&P fell through this and I bottled out yesterday, moving outstanding closing orders inwards to take profit early.

Trade date: 11 July 2022
Security: SPX
Price at opening: 3859.0
Direction: Put
Expiry date (short side): 15 July 2022
Implied Vol (short side) 26.2%
Expiry date (long side): 18 July 2022
Implied Vol (long side) 23.8%
Strikes: 3805
Opening Spread: 5.00
Close date: 14 July 2022
Trade duration: 3
Closing spread: 7.00
Profit / (Loss): 2.00
Profit / (Loss): 40.0%
 
Opened this earlier today.

Trade date: 19 July 2022
Security: SPX
Price at opening: 3904.9
Implied Vol 25.3%
Direction: Put
Expiry date: 22 July 2022
Strikes: 3810 / 3840 / 3900
Structure: 2 / 3 / 1
Opening Spread: 7.10
 
...and a Calendar position on Nasdaq filled towards the end of the session.

Trade date: 19 July 2022
Security: NDX
Price at opening: 12136.7
Direction: Put
Expiry date (short side): 22 July 2022
Implied Vol (short side) 33.2%
Expiry date (long side): 25 July 2022
Implied Vol (long side) 27.6%
Strikes: 11950
Opening Spread: 20.50
 
Not the best trade (#223) to have held through a rising market.

Trade date: 19 July 2022
Security: SPX
Price at opening: 3904.9
Implied Vol 25.3%
Direction: Put
Expiry date: 22 July 2022
Strikes: 3810 / 3840 / 3900
Structure: 2 / 3 / 1
Opening Spread: 7.10
Close date: 22 July 2022
Trade duration: 2.27778287
Closing spread: -
Profit / (Loss): -7.10
Profit / (Loss): -100.0%
 
The Nasdaq Calendar (#224) expired worthless for 100% loss.

Added a couple of positions yesterday, a calendar on RUT and a fly on SPX.

Trade date: 26 July 2022
Security: RUT
Price at opening: 1798.0
Direction: Put
Expiry date (short side): 29 July 2022
Implied Vol (short side) 37.4%
Expiry date (long side): 01 August 2022
Implied Vol (long side) 30.0%
Strikes: 1770
Opening Spread: 2.63

Trade date: 26 July 2022
Security: SPX
Price at opening: 3923.7
Implied Vol 30.5%
Direction: Put
Expiry date: 29 July 2022
Strikes: 3810 / 3850 / 3930
Structure: 2 / 3 / 1
Opening Spread: 9.33
 
I don't like to load exposure on one security and direction but opened another fly position on Spooz today.

Trade date: 28 July 2022
Security: SPX
Price at opening: 4,001.9
Implied Vol 19.6%
Direction: Put
Expiry date: 01 August 2022
Strikes: 3915 / 3945 / 4005
Structure: 2 / 3 / 1
Opening Spread: 5.60
 
The S&P fly (#226) expired on Friday at 100% loss.

Thankfully other net long positions are profitable.

Opened another calendar position on RUT.

Trade date: 01 August 2022
Security: RUT
Price at opening: 1853.4
Direction: Put
Expiry date (short side): 05 August 2022
Implied Vol (short side) 23.5%
Expiry date (long side): 08 August 2022
Implied Vol (long side) 24.0%
Strikes: 1830
Opening Spread: 2.08

Given my recent performance with these, this should guarantee further gains in Russell 2000 this week!
 
Global OptionsTrades said:
A summary of the the last 50 trades (most of which are on here):

Win rate was 80.4%.
Average profit was 28.3%.
Average loss was 69.1%.
Net / aggregate profit was 9.2%.
Average duration was 0.9 days
Sharpe was 25.6%
Annualised return - at portfolio level - is 284%
The last 10 trades have all produced positive return. The only loss in the last twelve trades was 0.5%.

View attachment 277917

Wondering what to do with this and would welcome any thoughts.
More...

Hi Global OptionsTrades

Are you now mainly trading OTM baby flies? It's good to see your returns improved
 
Last edited:
Global OptionsTrades said:
A summary of the the last 50 trades (most of which are on here):

Win rate was 80.4%.
Average profit was 28.3%.
Average loss was 69.1%.
Net / aggregate profit was 9.2%.
Average duration was 0.9 days
Sharpe was 25.6%
Annualised return - at portfolio level - is 284%
The last 10 trades have all produced positive return. The only loss in the last twelve trades was 0.5%.

View attachment 277917

Wondering what to do with this and would welcome any thoughts.
More...
Something isn't that optimal, I would say.
I wonder how this
"
Average profit was 28.3%.
Average loss was 69.1%.
"
can give this:
"
Net / aggregate profit was 9.2%.
"
 
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