Swing trading with Butterflies

Closed flies yesterday at a loss after both securities rose stongly following earnings for the tech giants.

Trade date: 31 January 2023
Security: NQ
Price at opening: 12,060.8
Implied Vol: 42.2%
Direction: PUT
Expiry date: 03 February 2023
Strikes: 11700 / 12050 / 12400
Structure: 1 / 2 / 1
Opening Spread: 91.00
Close date: 02 February 2023
Trade duration: 2
Closing spread: 31.0
Profit / (Loss): (60.0)
Profit / (Loss): -65.9%

Trade date: 01 February 2023
Security: RUT
Price at opening: 1,921.9
Implied Vol: 41.0%
Direction: PUT
Expiry date: 03 February 2023
Strikes: 1870 / 1920 / 1970
Structure: 1 / 2 / 1
Opening Spread: 14.10
Close date: 02 February 2023
Trade duration: 0
Closing spread: 7.0
Profit / (Loss): (7.1)
Profit / (Loss): -50.4%
 
Opened a directional position on Nasdaq yesterday anticipating that it may fall over the next few days, or not rise significantly.

Then watched it rise 250 points during the rest of the session!

Trade date: 07 February 2023
Security: NQ
Price at opening: 12,545.00
Structure: OtM Call Credit Spread
Expiry date: 13 February 2023
Strikes: 12800 / 12900
Opening Spread: 23.00
 
Opened a directional credit spread on oil earlier today.

Trade date: 09 February 2023
Security: CL
Price at opening: 77.65
Structure: OtM Put Credit Spread
Expiry date: 15 February 2023
Strikes: 74 / 75
Opening Spread: 0.22
 
Closing orders on the Nasdaq trade (#352) filled earlier.

Trade date: 07 February 2023
Security: NQ
Price at opening: 12,545.00
Structure: OtM Call Credit Spread
Expiry date: 13 February 2023
Strikes: 12800 / 12900
Opening Spread: 23.00
Close date: 09 February 2023
Trade duration: 2
Closing spread: 11.25
Profit / (Loss): 11.75
Profit / (Loss): 15.3%
 
Closing orders for the oil trade (#353) that I opened yesterday, closed this morning in profit.

Trade date: 09 February 2023
Security: CL
Price at opening: 77.65
Structure: OtM Put Credit Spread
Expiry date: 15 February 2023
Strikes: 74 / 75
Opening Spread: 0.22
Close date: 10 February 2023
Trade duration: 1
Closing spread: 0.11
Profit / (Loss): 0.11
Profit / (Loss): 14.1%
 
Opened a Nasdaq fly earlier today.

Trade date: 14 February 2023
Security: NQ
Price at opening: 12508
Direction: Put
Expiry date (short side): 17 February 2023
Implied Vol (short side) 27.5%
Expiry date (long side): 21 February 2023
Implied Vol (long side) 22.9%
Strikes: 12500
Opening Spread: 22.42
 
Outside my normal stuff over a few days duration, I've been experimenting for a couple of months with a 'compressed' intraday strategy using ODTE options on the major indices, which is doing very well.

The equity curve for the first 100 trades looks good, but I took a beating last week and spent time understanding why, so should avoid those drawdowns in future.

upload_2023-2-14_18-21-11.png


I'm going to run this in parallel with the vertical spreads with 3-7DTE, and 5/7 DTE Calendars, but won't try to report 0DTE trades in this journal, because it will get complicated, and there is arguably less value in doing so than for the longer term stuff.
 
Opened long directional positions for expiry next week on S&P500 and Nasdaq, and a short position on oil, each favouring credit spreads.

Trade date: 16 February 2023
Security: ES
Price at opening: 4,116.00
Structure: AtM/OtM Put Credit Spread
Expiry date: 21 February 2023
Strikes: 4055 / 4115
Opening Spread: 18.00

Trade date: 16 February 2023
Security: NQ
Price at opening: 12,622.00
Structure: OtM Put Credit Spread
Expiry date: 22 February 2023
Strikes: 12300 / 12350
Opening Spread: 9.50

Trade date: 16 February 2023
Security: CL
Price at opening: 78.90
Structure: OtM Call Credit Spread
Expiry date: 24 February 2023
Strikes: 81.5 / 82.25
Opening Spread: 0.16
 
The Nasdaq Calendar (#356 - not a fly, as I said by mistake) closed comfortably in profit yesterday, after Nasdaq returned to c.12500.

Trade date: 14 February 2023
Security: NQ
Price at opening: 12508.4
Direction: Put
Expiry date (short side): 17 February 2023
Implied Vol (short side) 27.5%
Expiry date (long side): 21 February 2023
Implied Vol (long side) 22.9%
Strikes: 12500
Opening Spread: 22.42
Close date: 16 February 2023
Trade duration: 2
Closing spread: 34.92
Profit / (Loss): 12.50
Profit / (Loss): 55.8%
 
My model produced Short signals for ES and Nasdaq, so I closed the long positions (#358) at a loss.

Trade date: 16 February 2023
Security: ES
Price at opening: 4,116.00
Structure: AtM/OtM Put Credit Spread
Expiry date: 21 February 2023
Strikes: 4055 / 4115
Opening Spread: 18.00
Close date: 17 February 2023
Trade duration: 1
Closing spread: 35.00
Profit / (Loss): -17.00
Profit / (Loss): -40.5%

Trade date: 16 February 2023
Security: NQ
Price at opening: 12,622.00
Structure: OtM Put Credit Spread
Expiry date: 22 February 2023
Strikes: 12300 / 12350
Opening Spread: 9.50
Close date: 17 February 2023
Trade duration: 1
Closing spread: 22.63
Profit / (Loss): -13.13
Profit / (Loss): -32.4%

Both indices are down c.1% now so it feels unwise to open short directional positions.

However, the oil position closed in profit overnight.

Trade date: 16 February 2023
Security: CL
Price at opening: 78.90
Structure: OtM Call Credit Spread
Expiry date: 24 February 2023
Strikes: 81.5 / 82.25
Opening Spread: 0.16
Close date: 17 February 2023
Trade duration: 1
Closing spread: 0.07
Profit / (Loss): 0.09
Profit / (Loss): 14.6%
 
You must log in or register to reply here.
Back
Top