Weekly Pin Butterfly Strategy

caroy said:
Week 9 - Update

Put on the following flies all with expiration 3/19/21

VXX as hedge long 1 12 call @ .88
QS 1:2:1 call 58-60-62 @0.42
FUBO 1:2:1 call 30-35-40 @ 1.58
RIOT 1:2:1 call 62-65-68 @ 0.55
TLRY 1:2:1 call 27-30-33 @ 0.67
GME 1:2:1 put 190-200-210 @ 1.15
SPCE 1:2:1 call 32-35-38 @ 0.99
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Hi Caroy,

Enjoying following your journal, thanks for sharing.

Do you have a specific screener to identify your large OI candidates or is it a case of eyeballing high IV stocks for any opportunities?

Thanks
 
Norris80 said:
Hi Caroy,

Enjoying following your journal, thanks for sharing.

Do you have a specific screener to identify your large OI candidates or is it a case of eyeballing high IV stocks for any opportunities?

Thanks
More...
I use the screener on Finviz sort by high IV and look for optionable strikes and then just go through each one on TW and look for large outlier of high OI relative to other strikes. If most end up being call flies on set up then i will hedge in VXX with a long option or back spread call spread. Put them all on during Thursday and usually take off on the open on Friday. Sometimes if they aren't in the profit tent i'll take off the short guts first at 2 or 3 cents and let the long options ride the rest of the day. GME looks good this morning as should open close to 200 the pinning strike. Paid 1.15 for the 210-200-190 put fly so should be fun to see where it opens. I'm anticipating the fly opens around 3.50 so a nice possible return on this one. We'll see it's GME so pinning probably not as big as a phenomenon on this one.
 
caroy said:
I use the screener on Finviz sort by high IV and look for optionable strikes and then just go through each one on TW and look for large outlier of high OI relative to other strikes. If most end up being call flies on set up then i will hedge in VXX with a long option or back spread call spread. Put them all on during Thursday and usually take off on the open on Friday. Sometimes if they aren't in the profit tent i'll take off the short guts first at 2 or 3 cents and let the long options ride the rest of the day. GME looks good this morning as should open close to 200 the pinning strike. Paid 1.15 for the 210-200-190 put fly so should be fun to see where it opens. I'm anticipating the fly opens around 3.50 so a nice possible return on this one. We'll see it's GME so pinning probably not as big as a phenomenon on this one.
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Thanks for the detailed response. Good luck with the GME trade
 
Week 9 - update totals

VXX as hedge long 1 12 call @ .88 sold @ 1.11 +0.23
QS 1:2:1 call 58-60-62 @0.42 sold @ 0.90 +0.48
FUBO 1:2:1 call 30-35-40 @ 1.58 sold @ 0.39 -1.19
RIOT 1:2:1 call 62-65-68 @ 0.55 sold @ 1.35 +0.80
TLRY 1:2:1 call 27-30-33 @ 0.67 sold @ 0.03 -0.64
GME 1:2:1 put 190-200-210 @ 1.15 sold @ 2.85 +1.70
SPCE 1:2:1 call 32-35-38 @ 0.99 sold @ 0.51 -0.48

total + $0.90 or $90

Take Away:

  • Exits: Well a positive week so I won't bitch too much but really somethings with flies are frustrating. I legged out of the guts of some and let the long option run. It worked in RIOT and QS but really had I just waited throughout the day and exited as total flies some would have been more profitable. But alas this is the frustration. In the morning it looked like a sell off with VXX juicing so you make the decisions you can when you can and live to trade another day.
  • GME frustration - This bitch pinned and what did I get out of it $1.70. I mean I can't complain on an exit at 2.85 with an entry at 1.15 but had I just waited till 2:15 pm or so CST to exit it traded at 8.00. Makes you second guess yourself. With the wider strike juiciest IV flies I just need to wait, wait, wait....... let that think spread it's wings. maybe the higher IV the longer I wait to close.
  • Straddles - Did not play any of these this week in ES. Pricing was odd all week and I'm not sure why. I defer to those of you with more experience. The bid ask were wide, volume light, and the prices did not seem to correspond to the futures price being quoted. Curious if others saw this or what gives? Bond yield freak outs? some oddity in TW software?
Happy Trading and have a good weekend.
 
Week 10 - update

Entered the following flies with expiration for March 26

VXX 1:2:1 12-14-16 call @ $0.77
RIOT 1:3:2 43-50-53 call @ $1.45
PYPL 2:3:2 222.5-225-230 put @ $0.67
AMD 1:2:1 76-80-84 call @ $0.78
ROKU 1:2:1 290-300-310 put @ $1.50
PENN 1:2:1 99-103-197 put @ $1.07
BLNK 1:3:2 24-39-44 put @ $1.30
MARA 1:3:2 32-40-44 call @ $2.10
QS 1:2:1 43-45-47 call @ $0.46
GME 1:2:1 140-130-120 put @ $1.55
DKNG 1:3:2 64-70-73 call @ $1.29
VIAC 1:3:2 65-70-72.5 call @ $1.44

Hoping they all pin tomorrow.
 
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Week 10 - Update totals

VXX 1:2:1 12-14-16 call @ $0.77 sold @ $0.08 -$0.69
RIOT 1:3:2 43-50-53 call @ $1.45 sold @ $2.50 +$1.05
PYPL 2:3:2 222.5-225-230 put @ $0.67 sold @ $.05 -$0.62
AMD 1:2:1 76-80-84 call @ $0.78 sold @ sold @ $1.10 +$0.32
ROKU 1:2:1 290-300-310 put @ $1.50 sold @ $4.50 +$3.00
PENN 1:2:1 99-103-197 put @ $1.07 sold @ $1.65 +$0.58
BLNK 1:3:2 24-39-44 put @ $1.30 sold @ $0.07 -$1.22
MARA 1:3:2 32-40-44 call @ $2.10 sold @ $3.05 +$0.95
QS 1:2:1 43-45-47 call @ $0.46 sold @ $0.50 +$0.04
GME 1:2:1 140-130-120 put @ $1.55 sold @ $0.03 -$1.52
DKNG 1:3:2 64-70-73 call @ $1.29 sold @ $2.07 +$0.78
VIAC 1:3:2 65-70-72.5 call @ $1.44 sold @ $0.15 -$1.29

total p/l flies: +$0.68 up $68

Take Away:
  • Well another positive week so I can't bitch
  • Let the wider ones hang in there longer and paid off with PENN and ROKU for sure.
  • Usual drama with some legged out some legged in.
  • On a positive note I traded in and out of three 5 /ES straddles this week on either M, W, or F expirations and those were winners of $350 total for the week. Volatility in the indexes on the intraday moves was good for the straddle plays. Some were mix of tight strangles.
 
Here are the straddle trades from today. I like to compliment the weekly flied with expiration day long straddles or strangles in /ES. Looking for a point or two on each as they add up. Usually on early in the session but sometimes the hold isn't too long. An example of buying options when they are cheap and give you a nice gamma position for a move. No market wizard at this yet but they seem pretty low risk as when put on early the Spooze always seems to move all over making them profitable.
straddle 3.JPG
straddel 4.JPG
 
caroy said:
Week 10 - Update totals

total p/l flies: +$0.68 up $68
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@caroy , thanks for posting the updated results. I'm curious how you work out the final p/l figure? Are you trading similar capital amount for each fly? Or trading 1-contract in each?

Cheers
 
ffs1001 said:
@caroy , thanks for posting the updated results. I'm curious how you work out the final p/l figure? Are you trading similar capital amount for each fly? Or trading 1-contract in each?

On this account at the moment trading one lots on a small account. Plan May 1 is to leverage up with buying power in the 300-400 k range. Coming up with some risk rules and then will trade probably larger lots.
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