Weekly Pin Butterfly Strategy

caroy said:
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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Last 2 hours of SPX (ES) near expiration price movement has
been the same magntitude as last Friday. I am definitely not
ready to move from paper trading. Although last few hours
of both Monday and Wednesday offered long straddles and
ratio spread opportunities if I could time them right. I think this
has isolated my market timing problems. Maybe cash settled
Mon., Wed. and Fri SPX options are not better than ES options.
Any suggestions.
 
vanv0029 said:
Last 2 hours of SPX (ES) near expiration price movement has
been the same magntitude as last Friday. I am definitely not
ready to move from paper trading. Although last few hours
of both Monday and Wednesday offered long straddles and
ratio spread opportunities if I could time them right. I think this
has isolated my market timing problems. Maybe cash settled
Mon., Wed. and Fri SPX options are not better than ES options.
Any suggestions.
More...
I had a couple SPX 0DTE IC earlier in the week worked well and one straddle in /ES that was profitable All wiped by a losing one way bet for scratch in an /ES put overnight. Flies worked this week though.
 
Week 13 - Update

Entered all on Thursday 4/15 all exited on 4/16

ETSY 1:2:1 202.5-210-217.5 put bot @ 1.60 sold @ 3.00 +1.40
FUTU 1:2:1 140-145-150 put bot @ 1.75 sold @ 2.04 +0.29
RIOT 1:2:1 45-50-55 call bot @ 1.77 sold $0.19 -1.58
PENN 1:2:1 98-105-112 call bot @ 1.88 sold @ 3.00 +1.12
QS 1:2:1 36-40-44 call bot @ 1.25 sold @ .07 -1.18
CVNA 1:2:1 270-280-290 call bot @ 3.75 sold @ 4.00 +0.25
SPY 1:2:1 405-410-415 put bot @ 0.91 sold @ 0.35 -0.56
BABA 1:2:1 iron fly 235-240-245 sold @ 2.82 bot @ 2.25 +0.57
BYND 1:2:1 135-140-145 call bot @ 1.72 sold @ 1.80 +0.08
DKNG 1:2:1 56-60-64 call bot @ 1.25 sold @ 2.60 +1.35
TWTR 1:2:1 67-70-73 put bot @ 1.35 sold @ 1.99 +0.64
TSLA 1:2:1 740-750-760 call bot @ 1.25 sold @ 0.77 -0.58

total +1.80 or up $180

Take Away
  • Profitable week can't bitch
  • Sold an iron fly based on pinning in BABA worked will look to see others of these
  • Ideally would like the mix of the one day play to be 1/3 call 1/3 put 1/3 Iron flies
  • Stayed away from straddles today not much movement.
  • Account goes larger next week 250 k net liq as funds deposit business sale has finally closed.. - Deciding to trade 2% of value in flies for the first month and then decide from their to up exposure.
  • Going back and forth on playing the M,W,F straddles or Iron flies in /ES or SPX. I'd say success with these is positive overall but I'm not loving the feeling. Thinking flies only for the next month.
  • CVNA would have been a larger winner had I exited earlier. Once again taking a nice return over being greedy.
  • TSLA I exited early at a loss it had a run up through the pin and back down and touched. Stupid stupid stupid. Need to let these wide winged OTM have time to fly.
  • Looking forward to next week and doing some sizing up.
  • Maybe add a weekly net-liq screen shot. Can't decide on that or not.
 
Week 14 - Update

Entered the following flies on 4/22 will exit all on expiration day tomorrow

ABNB 3:6:3 170-185-200 calls bot @ $2.65
SPY 3:6:3 403-408-413 puts bot @ $1.18
AAPL 5:10:5 130-135-140 calls bot @ $1.93
PTON 8 x 97-100-103 iron fly sold @ $@2.17
FUTU 2:4:2 115-125-125 puts bot @ $2.85
SQ 3:6:3 245-255-265 calls bot @ $2.31
W 2:4:2 290-300-310 puts bot @ $3.16
NFLX 7:14:7 495-500-505 puts bot @ $0.96
TSLA 1:2:1 720-750-780 calls bot @ $7.05
RIOT 3:6:3 35-45-55 calls bot @ $2.39
GSX 7:14:7 26-30-34 calls bot @ $1.07
GME 6:12:6 145-150-155 calls bot @ $1.10

Sizing up put around 3% of net liq into play on these flies. See what tomorrow brings. Exited a soybean fly at scratch went long a contract as it went through my distant wing sold it at a profit and scratched the fly. Beans are a bouncing. potential expiration straddle play in soy tomorrow.

Starting balance: $250,000 will update percentages up or down each week with new net liq. Week one of the new adventure. A little nervous but all defined risk flies.
 
Week 14 Update - Tally Totals

ABNB 3:6:3 170-185-200 calls bot @ $2.65 sold @ $5.50 +$975
SPY 3:6:3 403-408-413 puts bot @ $1.18 sold @ $0.29 -$267
AAPL 5:10:5 130-135-140 calls bot @ $1.93 sold @ $2.75 +$410
PTON 8 x 97-100-103 iron fly sold @ $@2.17 bot @ $2.00 +$126
FUTU 2:4:2 115-125-125 puts bot @ $2.85 bot @ $0.46 -$478
SQ 3:6:3 245-255-265 calls bot @ $2.31 sold @ $0.60 -$513
W 2:4:2 290-300-310 puts bot @ $3.16 sold @ $4.00 +$168
NFLX 7:14:7 495-500-505 puts bot @ $0.96 sold @ $1.50 +$378
TSLA 1:2:1 720-750-780 calls bot @ $7.05 sold @ $14.47 +$742
RIOT 3:6:3 35-45-55 calls bot @ $2.39 sold @ $2.50 +$33
GSX 7:14:7 26-30-34 calls bot @ $1.07 sold @ $0.90 -$119
GME 6:12:6 145-150-155 calls bot @ $1.10 sold @ $1.30 +$120

total p/l +$1,575 commissions 198 true p/ +$1,377 +0.5%
Percent winning trades 8/12 or 66%

Take Away
  • Overall I'm happy with week one performance trading with a higher net liq. I only put 3 percent into play with these flies
  • I was more patient with some giving them more time to open than others
  • Was nervous about trading with more size but really all fills were fine except a partial when I legged out of GSX. No big deal upped it a penny and hit.
  • Will now sit in cash till next Thursday to put on some more one day expiration flies.
  • Tried to split the allocation to around $700 per fly of risk and then had a hedge on with a spy fly.
  • Noting commissions kind of sucks with this but it is what it is. Maybe Tom and Tony will send me some free shit from Tasty Works.

net liq 1.JPG
 
Week 15 - Flies Entered 4/29 to exit 4/30

MRNA 2:4:2 175-190-205 calls bot @ $3.84
NVDA 1:2:1 605-625-645 calls bot @ $7.04
DASH 2:4:2 150-165-180 calls bot @ $2.74
PTON 5 X 96-100-104 iron fly sold@ $2.13
QS 3:6:3 35-40-45 calls bot @ $2.40
SPY 6:12:6 410-415-420 puts bot @ $0.76
BLNK 7:14:7 37-40-43 calls bot @ $1.12
MARA 10:20:10 35-40-45 calls bot @ $0.76
NVAX 3:6:3 235-250-265 calls bot @ $2.85
GME 1:2:1 175-200-225 calls bot @ $5.15
W 2:4:2 310-330-350 calls bot @ $3.75
FB 4:8:4 310-320-330 puts bot @ $1.89
ROKU 2:4:2 340-350-360 puts bot @ $3.18
TSLA 1:2:1 680-700-720 calls bot @ $5.22

capital utilization 3%
 
Week 15 - Final Updates

MRNA 2:4:2 175-190-205 calls bot @ $3.84 sold @ $7.00 + $632
NVDA 1:2:1 605-625-645 calls bot @ $7.04 sold @ $7.00 -$4
DASH 2:4:2 150-165-180 calls bot @ $2.74 sold @ $1.16 -$316
PTON 5 X 96-100-104 iron fly sold@ $2.13 bot @ $1.75 +$190
QS 3:6:3 35-40-45 calls bot @ $2.40 sold @$2.96 +$168
SPY 6:12:6 410-415-420 puts bot @ $0.76 sold @ $1.84 +$648
BLNK 7:14:7 37-40-43 calls bot @ $1.12 sold @$1.69 +$399
MARA 10:20:10 35-40-45 calls bot @ $0.76 sold @$2.00 +$1240
NVAX 3:6:3 235-250-265 calls bot @ $2.85 sold @$6.00 +$945
GME 1:2:1 175-200-225 calls bot @ $5.15 sold @$3.68 -$147
W 2:4:2 310-330-350 calls bot @ $3.75 sold @$0.60 -$630
FB 4:8:4 310-320-330 puts bot @ $1.89 sold @$2.80 +$364
ROKU 2:4:2 340-350-360 puts bot @ $3.18 sold @ $5.34 +$432
TSLA 1:2:1 680-700-720 calls bot @ $5.22 sold @ $9.50 +$428

put on an /ES fly in puts overnight up $150 and exited

total week p/l: +$4,499 commissions -$200 total +$4,299

Profitable trades 11/15

overall account performance strategy ytd: +2.1%

Take Away:
  • A good week. Feels very good. Nice p/l
  • Used SPY fly as a hedge added one in /ES in overnight as nervous things would collapse.
  • Thinking more balanced next week between put and call flies
  • Out early in the day maybe should have waited on some but I liked the green screen and cashed out.
net liq 2.JPG
 
traider said:
Are your flies structured for directional moves?
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I set them with a directional bias based on the strike with the highest open interest going into expiration. Usually place the first wing ATM or slightly ITM.
 
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