Weekly Pin Butterfly Strategy

Thanks for the detailed report. I love dogs and it sounds like Butters had the best time of all. Ticks are a real pain. I pick black raspberries in the early summer in the wild and ticks are the biggest problem -- well there is the poison ivy too --- got that bad one year.
 
Week 20 - update / totals

Entered and Exited Morning of 6/3

ABNB 4:8:4 145-150-155 call bot @ $1.31 sold @ $1.63 +$128
SPY 10:20:10 413-417-421 put bot @ $1.25 sold @ $1.20 -$50
TSLA 11:22:11 592.5-600-607.5 call bot @ $1.15 sold @ $1.30 +$165

Hold overnight 6/4

ABNB 8:16:8 145-150-155 call bot @ $1.43 sold @ $1.50 +$56
APPS 12:24:12 67-70-73 call bot @ $0.90 sold @ $1.15 +$300
BABA 7:14:7 215-220-225 call bot @ $1.82 sold @ $2.20 +$266
CHWY 8:16:8 72-75-78 put bot @ $1.55 sold @ $1.10 - $360
CZR 8 Ironfly 107-110-113 sold @ $1.74 bot @ $1.45 +232
DASH 10:20:10 140-145-150 call bot @ $1.27 sold @ $1.75 +480
FUTU 6:12:6 142-150-157.5 call bot @ $2.41 sold @ $3.00 +$354
MRNA 6 Ironfly 195-200-205 sold @ $3.37 bot @ $3.05 +$192
MSTR 5:10:5 490-500-510 call bot @ $2.60 sold @ $0.31 -$1145
NKE 10 Ironfly 133-135-137 sold @ $1.03 bot @ $1.52 -$490
PENN 10:20:10 76-79-82 put bot @ $1.32 bot @ $0.94 -$380
SPY 5:10:5 413-417-421 put bot @ $1.33 bot @ $0.43 -$450

Traded Intraday 6/4
BNTX 5:10:5 225-230-235 call bout @ $2.24 sold @ $2.00 -$120
NVDA 1 Ironfly 690-700-710 sold @ $5.90 bot @ $5.70 + $20
TSLA 3:6:3 590-600-610 call bot @ $3.11 sold @ $3.65 +$162
ZM too fucked up to discuss bot a put fly then as rallied then a call fly of course sold off bot in the short bodies and then traded out of the remaining straddle and strangle. don't want to fuck with the math pissed at myself for this one. One other /ES straddle for a $125 loss as well.

P/L +$260 Commissions -$480 Net P/L $-220

Win rate: 12/19 YTD win rate:

weekly avg loser weekly average winner $235

Performance YTD up +1.62%

Thoughts:
  • Not very happy. Overtraded when not needed. Losing week but still net positive since inception.
  • ZM prime example of overtrading.
  • Did a better job of trimming losers with the exception of MSTR but that turd dropped on the open and sat. Staying away from this one moving forward.
  • At one point early in the day account was up around $2,500 from last week but it shows how winners can turn to losers pretty simple.
  • Kicking myself for exiting DASH and ABNB as they pinned later and would have been nice winners.
  • FUTU pinned at the highest OI and that fly traded around $6.00 but i stayed around being greedy and ended up letting it turn into a big winner.
  • Once again thoughts on when to exit. Am adding a TOS account this weekend and want to go back through the OnDemand feature and look at different times of day and see if there is a discernable exit strategy or not. Thanks to @illinitrader for walking me through it.
  • No need to add these speculative day positions. Although some were winners the whole ZM debacle turned what could have been a nice week into shit. Pigs get slaughtered. Or do I miss a great pin by taking profits too soon. The joys of trading flies I guess.
  • Always welcome to feedback and input to solving this exit riddle. I like the overall winning trades as I think it shows the power of placing the body at the highest OI for one day plays but I have to figure out a better exiting plan. see the debacle of ZM on the net liq. Sigh.
  • Enjoy the weekend.
  • net liq 7.JPG
 
The Value of One last few days in fly value. Special thanks to @sigma for this chart of an IWM fly during the last week of its life. I've gravitated towards entering flies on Thursday for Friday expiration as it appears the greeks and their changes provide the greatest change in fly value from the day before expiration to the day of. But as I look at this perhaps entering Wednesday afternoon or Thursday morning is a better idea. Thoughts?

F0530996-47A8-4903-8316-A7CA4CC356CD.jpeg
 
caroy said:
The Value of One last few days in fly value. Special thanks to @sigma for this chart of an IWM fly during the last week of its life. I've gravitated towards entering flies on Thursday for Friday expiration as it appears the greeks and their changes provide the greatest change in fly value from the day before expiration to the day of. But as I look at this perhaps entering Wednesday afternoon or Thursday morning is a better idea. Thoughts?

View attachment 260179
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You have said the open interest of particular strikes can change greatly over a short period of tine. As relative open interest is a major input in strike selection and timing for your pinning strategy, if you add DTE, you are effectively changing your focus, not that’s a bad thing.

The following are some random thoughts after driving almost 1500 miles in my car in 30 hours:

1. How are your executions? Are you getting filled near mid or paying the full spread?
2. How would a synthetic, say a delta hedged long vertical spread for a credit, centered around a higher IV strike performed? Any hedging using shares does not have to create neutrality, depending on your outlook, of course. Also, you could buy a option to protect against an adverse move in the shares, as well.
3. Your protection strike selection could be based on highest net potential ROC.
4. How much theta are your legs costing you?
5. As it is, NQ had a big trend day on Friday, and you still had a positive gross profit. Your strategy seems almost bullet proof.
6. Managing short options on expiration day is tough and subject to a lot of variance in my opinion. You shouldn’t expect to call every zig or zag perfectly every Friday.

Overall, it seems you are doing fine. Perhaps focus on getting more IV for your short options while paying less theta on your protection might help. Please excuse me a moment. I have a call from Payoff Diagrams on line one!
 
One thing on Open Interest when you are looking at it on Thursday afternoon: That is the OI for the prior close on Wed so the volume during the day Thursday will affect the actual OI at the moment you are putting on your Flys. Of course the vol could be daytrades, reducing OI or adding to OI so maybe not as helpful as I first thought.
 
BeautifulStranger said:
You have said the open interest of particular strikes can change greatly over a short period of tine. As relative open interest is a major input in strike selection and timing for your pinning strategy, if you add DTE, you are effectively changing your focus, not that’s a bad thing.

The following are some random thoughts after driving almost 1500 miles in my car in 30 hours:

1. How are your executions? Are you getting filled near mid or paying the full spread?
a. I usually look at the mid price and enter my orders a few pennies above the mid point. They usually fill rather quickly although sometime I'm hit with annoying partial fills. In more thinly traded options the spread is wider.
2. How would a synthetic, say a delta hedged long vertical spread for a credit, centered around a higher IV strike performed? Any hedging using shares does not have to create neutrality, depending on your outlook, of course. Also, you could buy a option to protect against an adverse move in the shares, as well.
I haven't played around much with hedging them as they are usually entered with a bull or bear bias based on the hopeful move towards the strike with highest OI. I've though buying or selling the stock on expiration day when one falls below the strike or above the wings but then would have to worry about whipsaw effect in some ways.
3. Your protection strike selection could be based on highest net potential ROC.
I need to ponder this one.
4. How much theta are your legs costing you?
The ITM leg usually has a wider b/a spread than the deep OTM leg.
5. As it is, NQ had a big trend day on Friday, and you still had a positive gross profit. Your strategy seems almost bullet proof.
I'm hoping. It's up and even in losing weeks at certain times it has been overall profitable on those days it's choosing the exits which is difficult.
6. Managing short options on expiration day is tough and subject to a lot of variance in my opinion. You shouldn’t expect to call every zig or zag perfectly every Friday.
Agreed. This is the most challenging and the most entertaining part on Friday's of managing exits on 12-15 positions.

Overall, it seems you are doing fine. Perhaps focus on getting more IV for your short options while paying less theta on your protection might help. Please excuse me a moment. I have a call from Payoff Diagrams on line one!
More...

Hope your dive went well and thanks for the input.
 
Illini Trader said:
One thing on Open Interest when you are looking at it on Thursday afternoon: That is the OI for the prior close on Wed so the volume during the day Thursday will affect the actual OI at the moment you are putting on your Flys. Of course the vol could be daytrades, reducing OI or adding to OI so maybe not as helpful as I first thought.
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Good point. I can see the daily volumes at certain strikes live but I've been presuming the OI is live as well. In the ideal candidates the contrast of OI is ideally very large over the other strikes. I need to now think about this presumption that what I'm seeing on Thursday is not accurate. Sigh.
 
caroy said:
But as I look at this perhaps entering Wednesday afternoon or Thursday morning is a better idea. Thoughts?
More...
Illini Trader said:
That is the OI for the prior close on Wed so
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But as I look at this perhaps entering Wednesday afternoon xx xxxxxxxx xxxxxxx is a better idea. Thoughts?

Is there a way to run the above condition in parallel with your current system for a limited time? It garners you the freshest data. If all else equal, ...your endurance for double-work and added risk is ...
 
Week 21 - Updates and Entries

Intraday
TSLA 2:4:2 605-620-635 call bot @ $4.50 sold @ $5.03 +$106

Hold to Friday Expiration

DKNG 10:20:10 52-55-58 call bot @ $1.47
ETSY 5 Iron Flies 160-165-170 sold @ $2.78
FSLY 10:20:10 52-55-58 call bot @ $1.35
FUBO 12-24-12 27-30-33 call bot @ $1.03
FUTU 6-12-6 142-150-157.5 call bot @ $3.00
GME 8:16:8 240-250-260 call bot @ $1.50
NNOX 9:18:9 27-30-33 call bot @ $1.26
NVDA 690-700-710 call bot @ $3.16
QQQ 6-12-6 332-337-342 put bot @ $1.82
ROKU 12-24-12 345-350-355 call bot @ $1.05
SQ 4-8-4 212.5-220-227.5 call bot @ $2.88
TTD 3-6-3 570-580-590 call bot @ $2.88

Entered these flies beginning around 12:30 - 1:00 pm a little earlier than usual. GME immediately took a shit but is bid up now on the overnight. Somewhat a lotto ticket play on a cheap $10 wide fly. A pin on that one would be great for Friday but not likely. TTD took off through the body as well. Looked to exit for a profit but wide b/a spreads and messed around adjusting exit price multiple times to no avail.
 
Week 21 - Update and Exits

DKNG 10:20:10 52-55-58 call bot @ $1.47 sold @ $2.00 +$530
ETSY 5 Iron Flies 160-165-170 sold @ $2.78 bot @ $2.55 +$115
FSLY 10:20:10 52-55-58 call bot @ $1.35 sold @ $1.68 +$330
FUBO 12-24-12 27-30-33 call bot @ $1.03 sold @ $1.50 +$516
GME 8:16:8 240-250-260 call bot @ $1.50 sold @ $0.75 - $600
NNOX 9:18:9 27-30-33 call bot @ $1.26 sold @ $1.90 +$576
NVDA 4:8:4 690-700-710 call bot @ $3.16 sold @ $1.95 -$484
QQQ 6-12-6 332-337-342 put bot @ $1.82 sold @ $1.25 -$342
ROKU 12-24-12 345-350-355 call bot @ $1.05 sold @ $1.75 +$840
SQ 4-8-4 212.5-220-227.5 call bot @ $2.88 sold @ $4.65 +$720
TTD 3-6-3 570-580-590 call bot @ $2.88 sold @ $0.05 -$849

P/L +$1458 Commissions -266 Net P/L +$1192

Winning Trades: 8/12 YTD Winning Trades

Average weekly winner: Average weekly loser

Overall Performance YTD (start May 1, 2021): Up 2.2%

Thoughts
  • Overall happy to be back in the positive for the week.
  • Overall highwater point back in reach.
  • Happy with trade selections and better job of narrowing total losses on losing positions except for that bitch TTD
  • Exited most of these by 9:30 due to other work commitments re: golf outing in the humidity for work but I'll take the wins. Feel some would have played out to be bigger winners but that's the joy you just never know.
  • Might stay away from these less liquid stocks going forward as the fills in TTD are rather awful similar to my experience in MSTR.
  • Happy with the short Iron Fly in Etsy. I like these set ups when I see them to take a small clip out and move on.
  • Happy my IRA is holding AMC but my short call on a covered call position will be called away.
Probably won't be active next week. Headed to Playa Hermosa Costa Rica with the gal pal and her daughter and her daughter's friend for some surfing an bumming around the beach. Don't want to be antisocial and sit on my computer during a vacation. I've been down there a few times and am looking forward to drinking some cold Imperial beer and watching some sun sets. Pura Vida!

net liq 8.JPG

 
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