Weekly Pin Butterfly Strategy

Week 11 - Update

A couple filled and closed yesterday to today
VXX hedge + 1 11 call @ $0.36
BLNK 1:3:2 35-40-42.5 call @ $1.64 sold $2.15 +$0.51
RIOT 1:2:1 50-55-60 call @ $1.27 sold @ $1.75 +$0.48
BABA 1:3:2 215-220-230 put @ $2.15
BYND 1:2:1 130-145-140 call @ $1.63
ETSY 1:3:2 200-210-215 call @ $3.60
JMIA 1:3:2 25-39-41 call @$1.00
MARA 1:2:1 40-45-50 put @$1.94
PTON 1:2:1 112-115-118 call @$0.87
ROKU 1:2:1 290-300-310 put @$2.26
TLRY 1:2:1 22-25-28 call @$0.84
TSLA 1:2:1 640-650-660 put @1.41

hoping they pin
 
If I were you, if you’re strictly looking for a pin off OI, use symmetric classic naturals instead of ratio/skip-strikes. The 121 sym is a better fit for a pin, while the ratio’d variations are more suited for more complex bias’s (drift, vol, delta, etc etc)
 
.sigma said:
If I were you, if you’re strictly looking for a pin off OI, use symmetric classic naturals instead of ratio/skip-strikes. The 121 sym is a better fit for a pin, while the ratio’d variations are more suited for more complex bias’s (drift, vol, delta, etc etc)
More...

Will have to ponder this.
 
VXX hedge + 1 11 call @ $0.36
BLNK 1:3:2 35-40-42.5 call @ $1.64 sold $2.15 +$0.51
RIOT 1:2:1 50-55-60 call @ $1.27 sold @ $1.75 +$0.48
BABA 1:3:2 215-220-230 put @ $2.15 sold @ $4.70 +$2.55
BYND 1:2:1 130-145-140 call @ $1.63 sold @ $2.58 +$0.95
ETSY 1:3:2 200-210-215 call @ $3.60 sold @ $6.15 +$2.55
JMIA 1:3:2 35-39-41 call @$1.00 sold @ $1.50 +$0.50
MARA 1:2:1 40-45-50 put @$1.94 sold @ $0.52 -$1.42
PTON 1:2:1 112-115-118 call @$0.87 sold @ $1.42 +$0.55
ROKU 1:2:1 290-300-310 put @$2.26 sold @ $0.45 -$1.81
TLRY 1:2:1 22-25-28 call @$0.84 sold @ $1.42 +$0.58
TSLA 1:2:1 640-650-660 put @1.41 sold @ $0.65 -$0.76

total: up $4.68 or $468

  • Take Away
  • The wider pins seemed to work better. Wider strikes.
  • Legging out of BABA and letting the long put run turned into a nice trade.
  • Patient and waited till longer in the day to exit but probably should have waited longer.
  • Can't bitch good week.

Happy weekend to all and a good Easter.
 
Week 12 - Update

Following flies. All entered 4/8 exits on 4/9

TSLA 1:2:1 690-700-710 c @ $1.13 sod @ $0.21 -$0.92
PENN 1:2:1 102-120-118 c @ $1.85 sold @ $3.30 +$1.45
FUBO 1:2:1 20-25-30 c @ $1.07 sold @ $3.15 +$2.08
CHPT 1:2:1 27-30-33 c @ 1.32 sold @ $1.50 + $0.18
QS 1:2:1 46-49-52 c @ $1.25 sold @ $0.32 -$0.93
GME 1:2:1 190-200-210 c @ $1.13 sold @ $0.31 -$0.82
GSX 1:2:1 20-25-30 p @ $0.65 sold at $0.92 +$0.27
SPX 1:2:1 iron fly 4075-4100-4025 sold at 12.50 bought @ 12 +$0.50

totals: +1.81 or profit $181

Thoughts:
  • Can't complain with an overall profitable week.
  • Viewed the OTM plays in TSLA and GME kind of as lottery tickets. Didn't work out. Like the R/R set ups on these but probably have to accept not many will hit this far out of the money especially with some sleepy action overall.
  • Liked the wider winds paid off better. Thinking wings always $4 or wider.
  • Liking that in essence this is a non-correlated strategy. I'm only in the market one day and out the next and sitting in cash the majority of the week. Crash proof? Maybe maybe not.
  • Made some other profits this week with a couple straddles in /ES in the early morning and did a O DTE SPX iron fly this morning for a quick small profit. First time doing one of these but the lack of vol and swings made it worth trying. I liked the risk is capped with the iron fly.
    spx if.JPG
 
caroy said:
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. View attachment 255713 View attachment 255714
More...

U ever investigate buying put spreads as the market moves up instead of Straddle OFF / Straddle/Strangle back ON
U would save a little on commission and spreads (10% extra on 1 or 2 pts can add up)
 
Justrade said:
U ever investigate buying put spreads as the market moves up instead of Straddle OFF / Straddle/Strangle back ON
U would save a little on commission and spreads (10% extra on 1 or 2 pts can add up)
More...
I haven't looked at this. So essentially buy the put spread as it gets cheaper on the way up hoping for a future collapse in price intraday? buy the put spread in the /ES
 
I had a rather unpleasant result in my paper trading
account trying to trade Augen expiration day method
on Friday. I tried using his long call below the market
and short 3 calls above. It needs to be adjusted to
sell 2 very cheap calls above the market or else
IB says margin is like $120k. I tried long SPX
weekly long 4105 call, short 3, 415 calls and
long 2, 425 calls (that were only 40 cents). I
could have taken about $100 profit around 3:00PM.
Instead I decided to run an errand thinking SPX
weeklies cash settle so I would collect a lot more
when the 415 calls expired worthless. Except
I lost the maxim about $1200 loss because SPX
rose from 4107 at 3:15 to 4127 close on what had
been a quiet day. I looked and now maybe because
of option trades, SPX seems to make a large move
last hour each Friday. Has anyone tried to trade that?
 
vanv0029 said:
I had a rather unpleasant result in my paper trading
account trying to trade Augen expiration day method
on Friday. I tried using his long call below the market
and short 3 calls above. It needs to be adjusted to
sell 2 very cheap calls above the market or else
IB says margin is like $120k. I tried long SPX
weekly long 4105 call, short 3, 415 calls and
long 2, 425 calls (that were only 40 cents). I
could have taken about $100 profit around 3:00PM.
Instead I decided to run an errand thinking SPX
weeklies cash settle so I would collect a lot more
when the 415 calls expired worthless. Except
I lost the maxim about $1200 loss because SPX
rose from 4107 at 3:15 to 4127 close on what had
been a quiet day. I looked and now maybe because
of option trades, SPX seems to make a large move
last hour each Friday. Has anyone tried to trade that?
More...
Thanks for this post. I will say in Augen's Expiration day plays the straddle appeals more to me or the trading around pinning which is what I try to set up with the butterflies. You're right he explains the ratio spread quite a bit. I just don't like anything with the unlimited risk element to it. I've noticed the Friday close spike on the SPX last couple of weeks but it had also been dead as a doornail last hours of the Monday and Wednesday expiration. I've had success with doing the straddle in /ES on expiration day usually putting it on the morning or early morning and taking it off in a couple hours. A little success with the ODTE Iron Fly in SPX last week. Flies into expiration are proving to be my more consistently profitable play for the time being.
 
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