Weekly Pin Butterfly Strategy

Week 23 - Updates

ABNB 8:16:8 150-155-160 calls bot @ $1.78 sold @ $2.26 +$384
COIN 5:10:5 240-250-260 calls bot @ $2.97 sold @ $4.25 +$640
DDOG 5:10:5 100-105-110 calls bot @ $3.20 sold @ $3.24 +$25
FB 4:8:4 350-360-370 calls bot @ $3.57 sold @ $3.85 +$112
NFLX 4:8:4 530-540-550 calls bot @ $3.75 sold @ $4.00 +$100
NVDA 3:6:3 785-800-815 puts bot @ $4.40 sold @ $3.13 -$381
PTON 6:12:6 120-130-140 calls bot @ $2.68 sold @ $4.50 +$1,092
RIOT 8:16:8 35-40-45 calls bot @ $1.60 sold @ $1.91 +$248
ROKU 2:4:2 430-450-470 calls bot @ $6.16 sold @ $10.00 +$768
VXX 10:20:10 28.5-30.5-32.5 calls bot @ $0.56 sold @ $.05 -$500
ZM 2:4:2 380-400-420 calls bot @ $6.62 sold @ 12.00 +$1,076

P/L +$3,564 Commissions: $183 Net p/l: +$3,381

average winner: $494 average loser: $441

winning trades: 9/11 winning trades ytd: 98/142

YTD Performance: +$6,809 +2.7%

Thoughts
  • Happy with this week. Kept it simple. Fewer flies wider strikes.
  • Decided to exit with green instead of hanging around for potential bigger profits.
  • Feel more disciplined no day trades this week.
  • Thinking the wider strikes which lowers the commissions is the way to go.
  • Once again the hedge in VXX was irrelevant but I can't shake myself of the needs to protect against a large gap black swan down. But then again worst case I only have under 5% of my capital at risk. I need to think more rationally about this and ditch the hedge for this strategy.
net liq 10.JPG
 
WOW!! Congrats on a great week. You are back in the saddle again. I like that low commission level this week. Your % return really under reflects your performance since your account is so large. My suggestion would be to decide the maximum amount of your account you will put out at risk once you are at full confidence. For illustration purposes say that amount is 25% of your balance. That would be $64,000. So calculate your return based on the maximum amount you would eventually have at risk when at full investment.
 
Illini Trader said:
WOW!! Congrats on a great week. You are back in the saddle again. I like that low commission level this week. Your % return really under reflects your performance since your account is so large. My suggestion would be to decide the maximum amount of your account you will put out at risk once you are at full confidence. For illustration purposes say that amount is 25% of your balance. That would be $64,000. So calculate your return based on the maximum amount you would eventually have at risk when at full investment.
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Good points. If I figure the return from the amount of capital put in play it would be up 45% in ten weeks. But feels somewhat wrong to say that because I don't believe one should ever allocate 100% of capital towards the fly strategy as there is systemic gap risk up and down that every fly could be worthless. Slim but there and if you were all in you would be wiped out. I think my 5% relative to capital is pretty conservative and am thinking of upping it to 10 to 15% over the next couple of months.
 
caroy said:
Good points. If I figure the return from the amount of capital put in play it would be up 45% in ten weeks. But feels somewhat wrong to say that because I don't believe one should ever allocate 100% of capital towards the fly strategy as there is systemic gap risk up and down that every fly could be worthless. Slim but there and if you were all in you would be wiped out. I think my 5% relative to capital is pretty conservative and am thinking of upping it to 10 to 15% over the next couple of months.
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Take increases in small increments so there is not a major change from one week to the next.
 
Thanks for the interesting thread @caroy

A couple of thoughts / queries that are intended to be constructive having read most of it over the last few weeks but not analysed your trades in detail:
  1. I think you close trades manually, and have mentioned timing working against you occasionally. Glancing through the last few weeks you rarely close at more than c.65% of the maximum. Is there any benefit in placing an order to automatically close part/all of the position at 60-70% of your maximum profit?
  2. I don't think you consider skew at the outset. Is there any pattern or correllation between skew (or even direction) and performance?
  3. Opening spread as a percentage of maximum payout varies. Is there any benefit in filtering to not trade when opening spread is particularly large/small? I guess a higher cost suggests greater intrinsic value with greater expectancy of profit but would be interested to check, if it were my money
 
@
Global OptionsTrades said:
Thanks for the interesting thread @caroy

A couple of thoughts / queries that are intended to be constructive having read most of it over the last few weeks but not analysed your trades in detail:
  1. I think you close trades manually, and have mentioned timing working against you occasionally. Glancing through the last few weeks you rarely close at more than c.65% of the maximum. Is there any benefit in placing an order to automatically close part/all of the position at 60-70% of your maximum profit?
  2. I don't think you consider skew at the outset. Is there any pattern or correllation between skew (or even direction) and performance?
  3. Opening spread as a percentage of maximum payout varies. Is there any benefit in filtering to not trade when opening spread is particularly large/small? I guess a higher cost suggests greater intrinsic value with greater expectancy of profit but would be interested to check, if it were my money
More...
@globaloptiontrades

Many thanks for reading and for the thoughtful comments. I usually set a working order for 3X what I paid for the fly the night before and then adjust pre-open. Some of these hit on open but mostly they are adjusted and then I'm manually deciding when to exit. Hindsight is sometimes 20/20 often early winners turn into late day losers and or early losers to late day winners so it's somewhat make a decision and move on. The day job prevents me from the time to watch them all. As far as exacting high percentage of max value I think it's difficult with the fly. Outside of perhaps cash settled SPX it appears with the short guts you always have pin risk if you hold all the way to expiration. I had a GME I tried to extract max from and it ended up going from a 3 k winner to 2k loser in a matter of the last fine minutes of the day and then I had to sit through watching the after hours market trade wondering if I would risk assignment. I haven't given much thought on the skew as predictive of price movement. Something I can consider and start looking at. The general or perceived edge at the moment is a movement bias tied towards the pull of the strike with the highest OI. If there is a large OI difference it's believed to be caused by MMs gamma scalping their positions around their long options at the strike. I'm happy with the long-term win rate at 70% (90/142 ytd) but the management of the winners and losers is what I'm working on. Always happy to find more indicators as well. Will start looking at skew this week as a possibility.
 
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Experimenting with a new twist to the weekly butterflies. Looking at high priced stocks with decent implied volatility as well as multiple plays on SPX throughout the week. Using a Monday set up with put flies in high priced SNs. Opening as a broken wing fly to collect a credit. After a day or so rolling up the broken wing keeping part of the credit and locking in a free butterfly to leave on. Set ups at 1SD or 16 delta away. Same with SPX but play each expiration from the close before. Have had success selling 20 pt ICs around 8:45 this week and playing quick decay as well. Experiments on in TSLA and AMZN for the broken wing flies. Will look to lock in free flies out of them tomorrow. Can also play a strong move down by buying back the guts and letting the long wings stay in play but creates whipsaw risk. Looking to add some strategies to the expiration day flies Thursday to Friday. Broken wing fly takes more capital but the POP is significantly higher at over 85% and if there is a strong move down the fly goes profitable before becoming a loser. Still a sharp 2 SD move down in a day would incur max loss but the trade is defined. Will see how these tests play out this week.
 
caroy said:
View attachment 262784 Experimenting with a new twist to the weekly butterflies. Looking at high priced stocks with decent implied volatility as well as multiple plays on SPX throughout the week. Using a Monday set up with put flies in high priced SNs. Opening as a broken wing fly to collect a credit. After a day or so rolling up the broken wing keeping part of the credit and locking in a free butterfly to leave on. Set ups at 1SD or 16 delta away. Same with SPX but play each expiration from the close before. Have had success selling 20 pt ICs around 8:45 this week and playing quick decay as well. Experiments on in TSLA and AMZN for the broken wing flies. Will look to lock in free flies out of them tomorrow. Can also play a strong move down by buying back the guts and letting the long wings stay in play but creates whipsaw risk. Looking to add some strategies to the expiration day flies Thursday to Friday. Broken wing fly takes more capital but the POP is significantly higher at over 85% and if there is a strong move down the fly goes profitable before becoming a loser. Still a sharp 2 SD move down in a day would incur max loss but the trade is defined. Will see how these tests play out this week.
More...

It's a good idea but you really should try to lengthen your holding period unless you are very good at predicting short term moves.
 
Week 24 - Update

Today's closing trades from yesterday's experiment with the broken wing flies.
AMZN 10:20:10 3610-3600-3580 bw put fly bot @ cr $0.40 bot in $0.15 + $250
TSLA 10:20:10 602.5-607.5-610 bw put fly bot @ cr $0.17 rolled up wing for .04 +$130

Opened Today for Expiration Tomorrow
COIN 3:6:3 235-250-265 call bot @ $7.40
CRWD 3:6:3 240-255-270 put bot @ $6.03
GME 2:4:2 180-200-220 call bot @ $7.95
NVAX 2:4:2 165-182.5-200 put bot @ $9.45
PYPL 2:4:2 285-300-315 call bot @ $9.10
RIOT 13:26:13 32-37-42 call bot @ $1.67
ROKU 2:4:2 415-450-485 call bot @ $8.75
SPCE 3:6:3 45-60-75 call bot @ $5.90
SPX 10:20:10 4260-4270-4275 bot credit @ $0.25
TSLA 630-650-670 call bot @ $9.90
ZM 3:6:3 365-380-395 put bot @ $6.87

See what tomorrow brings. Went again with fewer and wider flies. Upped the allocation a tad.
 
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