Weekly Pin Butterfly Strategy

Week 6 Update

Entered following butterflies today still open
BLNK 1:3:2 call 45-50-52.5 @ 1.54
XPEV 1:3:2 call 40-45-47.5 @ 1.20
SPWR 1:2:1 call 37-40-43 @ 1.14
FUBO 1:2:1 call 46-50-54 @ 0.43
VXX 1:2:1 call 15-18-21 @ 0.85

Traded following straddles yesterday in ES expiration in and out
/ESH1 3920 in @ 17 out at 19
/ESH1 39005 in @ 19.25 out at 20

Iron Fly
RIOT 55-60-65 in at 4.23 out loser 4.50
 
Week 6 Update Final Tally

Entered following butterflies today still open
BLNK 1:3:2 call 45-50-52.5 @ 1.54 exit @ 2.05 = +0.51
XPEV 1:3:2 call 40-45-47.5 @ 1.20 exit @ 1.80 = +0.60
SPWR 1:2:1 call 37-40-43 @ 1.14 exit @ 1.92 = + 0.88
FUBO 1:2:1 call 46-50-54 @ 0.43 exit @ .02 = -0.41
VXX 1:2:1 call 15-18-21 @ 0.85 exit @ .35 = -.50

total p / l flies: +$1.08

Traded following straddles yesterday in ES expiration in and out
/ESH1 3920 in @ 17 out at 19 +1.00
/ESH1 39005 in @ 19.25 out at 20 +0.375
/ESH1 3920 in @ 12.50 out at 14.50 +1.00
/CZ 540 in @ 3.5 out @ 4.875 +0.875

total p/l straddles: +$3.25

Iron Fly
RIOT 55-60-65 in at 4.23 out loser 4.50

total p/l iron flies: -0.17


total p/l for the week. $4.16 of $416

Things to Ponder
  • Overall flies did fine. Entered them on Thursday as one day plays. Legged out at a couple that proved beneficial. Will wait till after 12:00 on Thursdays to enter trades. Liked the wider strikes. Need to do a little better job of exiting losers sooner but felt I let the winners have more time to open .
  • Straddles did very well this week. I like playing them more in expiration day on futures as the gamma cost lest and /ES is very liquid and provides lots of opportunities. /CZ corn had some intraday moves my straddle took advantage of.
  • Iron Fly - small loser life goes on.
  • Overall feeling good about this strategy with the flies and am enjoying the straddle piece. I don't think long straddles on expiration day are a sucker's bet.
 
Pondering a new set-up

Have spent the last couple of weeks reading some option books by Sinclair, Saliba, and Augen. Have been thinking about strategies for a put or call condor. Essentially choosing the condor over the fly you are flattening the profit tent a bit but widening it. PoP goes up but total return not so much.

I'm thinking in looking at weekly expirations putting a put or call condor on early in the week and then converting it to a butterfly structure later in the week. Sort of narrowing it as the weekly price action dictates and adjusting the profit tent going into the last day of trading. As getting every ounce of profit out of a fly seems more practical in theory than reality i'm hoping this concept might make entries overall cheaper and manage risks a little better.

Higher the IV the cheaper and wider the put or call condor can be set up at the beginning of expiration week. Am going to look to identify one to put on this Monday and then convert to a fly later in the week.

Those who are wiser than me - which are most of you on here - please let me know what I'm missing as with most of these ideas I'm usually missing something that I should be seeing.
 
Week 7 - Update

Entered the following flies today:

VXX 14-16 Call Spread hedge @ $0.56
RIOT 45-50-55 Put 1:2:1 @ $1.30
WKHS 10-12-16 Put 2:3:1 @ $0.70
TLRY 25-30-34 Call 1:2:1 @ $1.45


Straddles:
Have been day trading /ES straddles on expiration day. Traded some Monday, Wednesday, will repeat Friday. Will post all of these end of the week with final p/l.
 
caroy said:
I'm thinking in looking at weekly expirations putting a put or call condor on early in the week and then converting it to a butterfly structure later in the week.
More...

Good idea. But curious why a condor and not an iron condor? With a condor, one side will have deep ITM legs and these generally tend to have wider spreads and hence more slippage.
(And maybe even slightly higher assignment risk if the stock moves a long way in the wrong direction; eg. stock at 100, call condor at 90-95 and 105-110. Then stock shoots up to 120 on the Thur before the Fri expiry, and suddenly the 95 short call has very little time value. Of course you are protected by the 90 long, but just something to bear in mind.)

(PS - I often adjust a fly which has gone wrong into an iron condor.)
 
ffs1001 said:
Good idea. But curious why a condor and not an iron condor? With a condor, one side will have deep ITM legs and these generally tend to have wider spreads and hence more slippage.
(And maybe even slightly higher assignment risk if the stock moves a long way in the wrong direction; eg. stock at 100, call condor at 90-95 and 105-110. Then stock shoots up to 120 on the Thur before the Fri expiry, and suddenly the 95 short call has very little time value. Of course you are protected by the 90 long, but just something to bear in mind.)

(PS - I often adjust a fly which has gone wrong into an iron condor.)
More...
Good feedback. I need to ponder this a bit. In general i have a directional bias towards pinning on Friday on the strike with highest OI as that has so far been my edge. Ideally I'd be rolling down the OTM spread into the fly structure and locking in the butterfly at a cheaper rate or possibly the free fly. But good point on the ITM leg. I don't worry too much on exercise it's happened from time to time and usually it means i get the extra theta bleed. I started mostly in commodity options with european exercise which I prefer. I wish equity options would all have $1 strikes and european exercise. But most of my wishes go unfulfilled.
 
Week 7 - Updates and Totals

VXX 14-16 Call Spread hedge @ $0.56 sold @ $1.90 +$1.34
RIOT 45-50-55 Put 1:2:1 @ $1.30 sold @ $2.01 +$0.71
WKHS 10-12-16 Put 2:3:1 @ $0.70 @ $0.35 -$0.35
TLRY 25-30-34 Call 1:2:1 @ $1.45 @ $0.75 -$0.70

total p/l for the week: +$1.10 or $110

Points to Ponder
  • Putting on the VXX hedge proved providential while entering these trades Thursday morning. The big sell off turned out to be the most profitable trade for the week.
  • Sold a put spread in GME and exited for a $20 win but didn't add it to the trade totals as wasn't a fly and part of this strategy.
  • I didn't have the patience to wait till Thursday afternoon to enter the trades. Busy with the day job and only had a morning window to trade. Need more discipline about this.
  • On expiration day exited mostly by legging out always buying the guts in first and then letting the underlying run towards the highest OI strike. Worked in RIOT. WKHS and TLRY turds.
  • No time for straddles this week.
  • Overall another winning week with this strategy.
 
@caroy I think doing the opposite of what you said with turning condors into flys. The closer you get to expiry the faster those delta's will kick in so start with fly then turn into condor to give you a little room for expiry day.
I have reasonable direction capabilities so I sell straddles at the area where I think expiry will be. On the put side you get more premium but harder to get a closer expiry point so a tradeoff there.
 
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