Weekly Pin Butterfly Strategy

Week 16 update

Put on a couple call flies in commodities. Longer plays looking to close end of week or at 2x entry.

/ZC 690-720-750 call bot @ 4 1/2 cents
/ZS 1560-1600-1640 call bot @ 5 1/4 cents
/ZW 750-775-800 call bot @ 3 cents
 
Last edited:
Week 16 Update
Still in flies in the grains expiring in 16 DTE these are all moderately profitable with the nice move up so far this week. China's buying weather fucking up planting some short covering need another little spike.
/ZC 690-720-750 call bot @ 4 1/2 cents
/ZS 1560-1600-1640 call bot @ 5 1/4 cents
/ZW 750-775-800 call bot @ 3 cents

Entered following flies after 2PM CST today 5/6 for 5/7 expiration

BABA 3:6:3 225-235-245 call bot @ $2.17
CRSP 7:14:7 105-109-113 call bot @ $1.02
FSLY 3:6:3 40-50-60 call bot @ $2.40
GME 5 155-160-165 iron fly sold @ $3.34
LULU 3:6:3 317.5-327.5-337.5 call bot @ $2.35
MARA 8:16:8 31-35-40 call bot @ $0.82
MSTR 1:2:1 585-600-615 call bot @ $3.35
NFLX 3:6:3 492.5-500-507.5 call bot @ $2.55
NIO 10:20:10 36-39-42 call bot @ $0.70
NVAX 2:4:2 150-160-170 put bot @ $2.56
PYPL 3:6:3 230-240-250 put bot @ $2.50
RIOT 6:12:6 32-40-48 call bot @ $1.35
ROKU 2:4:2 240-260-280 put bot @ $4.89
SPY 8:16:8 409-413-417 put bot @ $0.68
TSLA 3:6:3 640-650-660 put bot @ $1.86
VXX 8:16:8 39-43-47 call bot @ $0.86

see what tomorrow brings.
 
Week 16 Update Final Totals

/ZC 690-720-750 call bot @ 4 1/2 cents sold @ 5 3/4
/ZS 1560-1600-1640 call bot @ 5 1/4 cents sold @ 7 3/4
/ZW 750-775-800 call bot @ 3 cents sold @ 3 1/4



BABA 3:6:3 225-235-245 call bot @ $2.17 sold @ $2.54 +$111
CRSP 7:14:7 105-109-113 call bot @ $1.02 sold @ $2.65 +$1,141
FSLY 3:6:3 40-50-60 call bot @ $2.40 sold @ $3.00 + $180
GME 5 155-160-165 iron fly sold @ $3.34 bot @ $3.15 +$95
LULU 3:6:3 317.5-327.5-337.5 call bot @ $2.35 sold @ $6.00 +$1,095
MARA 8:16:8 31-35-40 call bot @ $0.82 sold @ $1.48 + $528
MSTR 1:2:1 585-600-615 call bot @ $3.35 sold @ $2.50 -$85
NFLX 3:6:3 492.5-500-507.5 call bot @ $2.55 sold @ $4.75 +$440
NIO 10:20:10 36-39-42 call bot @ $0.70 sold @ $1.40 +$700
NVAX 2:4:2 150-160-170 put bot @ $2.56 sold @ $0.75 -$362
PYPL 3:6:3 230-240-250 put bot @ $2.50 sold @ $0.07 -$729
RIOT 6:12:6 32-40-48 call bot @ $1.35 sold @ $2.05 + $420
ROKU 2:4:2 240-260-280 put bot @ $4.89 sold @ $0.01 -$976
SPY 8:16:8 409-413-417 put bot @ $0.68 $0.19 -$392
TSLA 3:6:3 640-650-660 put bot @ $1.86 sold @ $0.76 -$330
VXX 8:16:8 39-43-47 call bot @ $0.86 sold @ $0.22 -$512

Played around with a few ES straddles pretty much scratch lost some on a one way bet in ES overnight during the week.

P/L +1324 commissions 300 net p/l $1,024

winning trades 12/19 ytd 31/46

percentage YTD - up 2.29%

Lessons Learned
  • Overall a positive week but barely.
  • Made mistakes earlier in the week tied to trading /ES options in overnight
  • Exited grain flies at marginal profits rather than waiting. Not sure that was a good move.
  • Partial fill in one.
  • Mistake with ROKU in entering before earnings.
  • Better balance of calls to puts in terms of flies.
  • Believe I over hedged with size of positions in spy and vxx overall to exposure. Thinking when more balanced no real need for this hedge as I can put on a straddle or position in /ES morning of if looks needed. Did not go back to find exact math for straddles and the futures loss but net liq provided for overall results.
  • More discipline next week and just enjoy trading the narrow window this strategy takes
net liq 3.JPG
 
Week 17

Entered the following flies after 2 PM CST for expiration May 14

APPL 7:14:7 128-131-134 call bot @ $1.03
BA 2:4:2 220-230-240 call bot @ $3.63
DKNG 6:12:6 40-45-50 call bot @ $1.16
FSLY 10:20:10 40-45-50 call bot @ $0.72
FUBO 10:20:10 18-20-22 call bot @ $0.68
MARA 6:12:6 18-22-26 call bot @ $1.35
NFLX 2:4:2 485-495-505 call bot @ $3.26
NIO 5:10:5 30-34-38 call bot @ $1.51
NNOX 10:20:10 20-23-26 call bot @ $0.43
NVAX 8:16:8 110-115-120 put bot @ $0.95
RBLX 5:10:5 68-73-78 call bot @ $1.72
RIOT 5:10:5 20-26-32 call bot @ $1.80
ROKU 1:2:1 305-320-335 call bot @ $5.00
SPY 9-18-9 404-408-412 put bot @ $0.90
TSLA 1:2:1 570-600-630 call bot @ $6.75
X 10:20:10 20-23-26 put bot @ $0.53
 
Week 17 - Update Totals

APPL 7:14:7 128-131-134 call bot @ $1.03 sold @ $1.63 +$420
BA 2:4:2 220-230-240 call bot @ $3.63 sold @ $4.99 +$272
DKNG 6:12:6 40-45-50 call bot @ $1.16 sold @ $2.26 +$660
FSLY 10:20:10 40-45-50 call bot @ $0.72 sold @ $0.76 +$40
FUBO 10:20:10 18-20-22 call bot @ $0.68 sold @ $1.00 +$320
MARA 6:12:6 18-22-26 call bot @ $1.35 sold @ $2.58 +$738
NFLX 2:4:2 485-495-505 call bot @ $3.26 sold @ $4.50 +$248
NIO 5:10:5 30-34-38 call bot @ $1.51 sold @ $2.15 +$320
NNOX 10:20:10 20-23-26 call bot @ $0.43 sold @ 1.00 +$670
NVAX 8:16:8 110-115-120 put bot @ $0.95 sold @ $1.02 +$56
RBLX 5:10:5 68-73-78 call bot @ $1.72 sold @ $1.60 -$60
RIOT 5:10:5 20-26-32 call bot @ $1.80 sold @ $4.19 +$1195
ROKU 1:2:1 305-320-335 call bot @ $5.00 sold @ $6.31 +$131
SPY 9-18-9 404-408-412 put bot @ $0.90 sold @ $0.37 -$477
TSLA 1:2:1 570-600-630 call bot @ $6.75 sold @ $10.02 +$327
X 10:20:10 20-23-26 put bot @ $0.53 sold @ $0.60 +$70

total p/l $4930 commissions $386 net p/l $4544

winning trades: 14/16 winning trades ytd: 45/62

performance YTD (1 month): Up 4%

Observations:
  • Overall I'm happy with this week and happy to be up 4% on a challenging past week for the overall market
  • Due to work commitments I had to exit almost all my positions around 9:00 AM. I don't like doing this as I feel I left a lot of potential gains on the table as flies take some time to spread their wings.
  • Overall the up move with more call flies versus puts was a positive thing.
  • I like that my time commitment to this strategy is basically a half hour to put them on Thursday and and a half hour to take them off Friday. I have a day job and the commitments vary day to day so I need a strategy that is not overly time sensitive that requires me to be watching the screen all day.
  • This is the first month of trading this strategy on a large scale and up $10k for the month feels good and reassuring. I'm tempted to up the allocation more than the 3 to 4 % I'm trading with while being all in cash the rest of the time.
  • I fell as volatility has picked up making flies cheaper this strategy can even be better in a down market than the upward drift low volatility environment we had been experiencing.


net liq 4.JPG
 
caroy said:
Week 17 - Update Totals

APPL 7:14:7 128-131-134 call bot @ $1.03 sold @ $1.63 +$420
BA 2:4:2 220-230-240 call bot @ $3.63 sold @ $4.99 +$272
DKNG 6:12:6 40-45-50 call bot @ $1.16 sold @ $2.26 +$660
FSLY 10:20:10 40-45-50 call bot @ $0.72 sold @ $0.76 +$40
FUBO 10:20:10 18-20-22 call bot @ $0.68 sold @ $1.00 +$320
MARA 6:12:6 18-22-26 call bot @ $1.35 sold @ $2.58 +$738
NFLX 2:4:2 485-495-505 call bot @ $3.26 sold @ $4.50 +$248
NIO 5:10:5 30-34-38 call bot @ $1.51 sold @ $2.15 +$320
NNOX 10:20:10 20-23-26 call bot @ $0.43 sold @ 1.00 +$670
NVAX 8:16:8 110-115-120 put bot @ $0.95 sold @ $1.02 +$56
RBLX 5:10:5 68-73-78 call bot @ $1.72 sold @ $1.60 -$60
RIOT 5:10:5 20-26-32 call bot @ $1.80 sold @ $4.19 +$1195
ROKU 1:2:1 305-320-335 call bot @ $5.00 sold @ $6.31 +$131
SPY 9-18-9 404-408-412 put bot @ $0.90 sold @ $0.37 -$477
TSLA 1:2:1 570-600-630 call bot @ $6.75 sold @ $10.02 +$327
X 10:20:10 20-23-26 put bot @ $0.53 sold @ $0.60 +$70

total p/l $4930 commissions $386 net p/l $4544

winning trades: 14/16 winning trades ytd: 45/62

performance YTD (1 month): Up 4%

Observations:
  • Overall I'm happy with this week and happy to be up 4% on a challenging past week for the overall market
  • Due to work commitments I had to exit almost all my positions around 9:00 AM. I don't like doing this as I feel I left a lot of potential gains on the table as flies take some time to spread their wings.
  • Overall the up move with more call flies versus puts was a positive thing.
  • I like that my time commitment to this strategy is basically a half hour to put them on Thursday and and a half hour to take them off Friday. I have a day job and the commitments vary day to day so I need a strategy that is not overly time sensitive that requires me to be watching the screen all day.
  • This is the first month of trading this strategy on a large scale and up $10k for the month feels good and reassuring. I'm tempted to up the allocation more than the 3 to 4 % I'm trading with while being all in cash the rest of the time.
  • I fell as volatility has picked up making flies cheaper this strategy can even be better in a down market than the upward drift low volatility environment we had been experiencing.


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Very nice results even if you had to close early, I appreciate your work and clarity on this method.

I am curious about how you go for scanning, do you start with top IV on decent volume (50k option volume?) and then look at the option chain for top OI strikes?
Do you use any particular scanner or just what the broker provides?
 
@cesfx Thanks for the questions. I usually look at finval once a week and then add stocks to watch into my butterfly list on tasty works. I sort by IV and then resort by price as preferably I like stocks were I can get $5 or $10 wide strikes. On some bigger tickets like TSLA I can go $30 wide but then I'm trying to keep each position scaled to the same dollar risk of around $750 per fly at the moment. Smaller names might end up being 10 lots as opposed to say a 2 lot in NFLX. Is far as volume it's only been a concern really with fill price. If it's really low I stay away. Last week a good winner was CRSP which has light volume. In some ways unless the volume is exceptionally low it seems to not matter. The market makers taking the side value the ITM option leg versus theoretical as the delta is now 100 and creates a synthetic opportunity for them to make a profit so you'll get filled once the price of the fly is less than the strike of the ITM leg minus the underlying is what I've observed. I have experienced some partial fills which in TW seem a bitch as it cancels the order and then I have to look in the portfolio to know there is something still there and put in an order to fill the rest. There's probably something in their settings to avoid this that I haven't found. My directional bias is then based on a move towards the strike with the highest OI. I don't always put the short strike belly exactly there but use that as the directional bias. Ideally I like to see one strike with a significantly higher OI than the others to help create the pinning effect if the underlying drifts up as the MMs will gamma scalp around that strike causing the pinning effect. The good think is it only takes a few winners that pay out 2 to 4 x to offset the losers or the hedge for a big down day. I find waiting till Thursday works better to put these on as the OI of strikes varies a good deal going into it. Hope this helps.
 
caroy said:
@cesfx Thanks for the questions. I usually look at finval once a week and then add stocks to watch into my butterfly list on tasty works. I sort by IV and then resort by price as preferably I like stocks were I can get $5 or $10 wide strikes. On some bigger tickets like TSLA I can go $30 wide but then I'm trying to keep each position scaled to the same dollar risk of around $750 per fly at the moment. Smaller names might end up being 10 lots as opposed to say a 2 lot in NFLX. Is far as volume it's only been a concern really with fill price. If it's really low I stay away. Last week a good winner was CRSP which has light volume. In some ways unless the volume is exceptionally low it seems to not matter. The market makers taking the side value the ITM option leg versus theoretical as the delta is now 100 and creates a synthetic opportunity for them to make a profit so you'll get filled once the price of the fly is less than the strike of the ITM leg minus the underlying is what I've observed. I have experienced some partial fills which in TW seem a bitch as it cancels the order and then I have to look in the portfolio to know there is something still there and put in an order to fill the rest. There's probably something in their settings to avoid this that I haven't found. My directional bias is then based on a move towards the strike with the highest OI. I don't always put the short strike belly exactly there but use that as the directional bias. Ideally I like to see one strike with a significantly higher OI than the others to help create the pinning effect if the underlying drifts up as the MMs will gamma scalp around that strike causing the pinning effect. The good think is it only takes a few winners that pay out 2 to 4 x to offset the losers or the hedge for a big down day. I find waiting till Thursday works better to put these on as the OI of strikes varies a good deal going into it. Hope this helps.
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Thank you for reply. Is finval a typo for finviz or another website?
 
I also remember a user on the journal who suggested synthetic setup for the short straddle part of the fly, to save a few cents on the fills. Have you considered it?
I also think it might be good to cover eventual early excercise, I use IB and their margins are funny. I can see that in the journal you never had to deal with early assignment but it is one of my worries when trading multiple legs or positions.
 
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