Good questions. I haven't played around with using synthetics to get better fills. I think this is primarily because with exception of a few longer dated flies in commodities I'm 99% trading one day plays and the bid / ask spreads are the usual tightness. Early exercise is a potential risk but one that is very minimalized as all these flies are put on with a directional bias with the short strikes well out of the money and then once again being held for only a day. If I stay away from earnings which can cause large after market moves the risk is pretty low. For example is I put on a 10:20:10 call flay in TWTR 50-60-70 and the underlying is at 51 no one would exercise the 60 calls. I guess someone could but it would be an error on their side unless they know something no one else does as it's $9 out of the money with one day to go. But I do worry about how it would effect the structure of the fly that is left if it ends up being 10:19:10 the next morning. The margin isn't too much of a risk to me as I'm trading with only 3-4% of my capital exposed each week for the one day period but on a large priced underlying it could present an issue. I could always just leg out of the options and I do do this sometimes for more profits. In the above case just buy the short guts back on the open and buy 100 shares of stock and then I'm left with 10 of the 50 calls and 10 of the 70 calls to work out of. If I were holding flies for a couple of weeks I think it is a much more valid risk.
Weekly Pin Butterfly Strategy
- Thread starter caroy
- Start date
Week 18 - Update
Entered the following flies on May 20 for expiration Friday May 21, 2021
AAPL 8:16:8 127-130-133 call bot @ $0.88
ABNB 2:4:2 135-150-165 call bot @ $2.49
BABA 5:10:5 215-220-225 call bot @ $1.88
BLNK 7:14:7 27.5-30-33 put bot @ $0.90
BTX 4:8:4 15-20-25 call bot $1.81
DASH 6:12:6 131-135-139 call bot @ $1.31
DDOG 7:14:7 87-90-93 call bot @ $1.04
ETSY 2:4:2 170-180-190 call bot @ $3.18
FUTU 4:8:4 127-134-141 call bot @ $1.58
GME 2:4:2 170-200-230 call bot @ $3.01
MARA 5:10:5 20-24-28 call bot @ $1.80
MSTR 2:4:2 430-450-470 put bot @ $4.85
NFLX 5 495-500-505 iron fly sold @$3.52
NVAX 7:14:7 145-150-155 call bot @ $1.09
RBLX 7:14:7 75-80-85 call bot @ $1.09
SPY 6:12:5 417-413-409 bot @ $1.00
TSLA 1:2:1 575-600-625 call bot @ $8.74
VXX 5:10:5 39-42-45 call bot @ $0.69
YALA 5:10:5 15-20-25 call bot @ $1.40
ZM 3:6:3 320-330-340 call bot @ $2.50
See what tomorrow brings.
Entered the following flies on May 20 for expiration Friday May 21, 2021
AAPL 8:16:8 127-130-133 call bot @ $0.88
ABNB 2:4:2 135-150-165 call bot @ $2.49
BABA 5:10:5 215-220-225 call bot @ $1.88
BLNK 7:14:7 27.5-30-33 put bot @ $0.90
BTX 4:8:4 15-20-25 call bot $1.81
DASH 6:12:6 131-135-139 call bot @ $1.31
DDOG 7:14:7 87-90-93 call bot @ $1.04
ETSY 2:4:2 170-180-190 call bot @ $3.18
FUTU 4:8:4 127-134-141 call bot @ $1.58
GME 2:4:2 170-200-230 call bot @ $3.01
MARA 5:10:5 20-24-28 call bot @ $1.80
MSTR 2:4:2 430-450-470 put bot @ $4.85
NFLX 5 495-500-505 iron fly sold @$3.52
NVAX 7:14:7 145-150-155 call bot @ $1.09
RBLX 7:14:7 75-80-85 call bot @ $1.09
SPY 6:12:5 417-413-409 bot @ $1.00
TSLA 1:2:1 575-600-625 call bot @ $8.74
VXX 5:10:5 39-42-45 call bot @ $0.69
YALA 5:10:5 15-20-25 call bot @ $1.40
ZM 3:6:3 320-330-340 call bot @ $2.50
See what tomorrow brings.
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Hey, you have really earned my respect for your ability to pick out good BF expiration opportunities and I know you welcome discussion so on that I would like to hear your reasons for the NFLX Iron Condor FLY. Here are my concerns with the trade:
1. NFLX is bouncing strong off the double bottom at 478
2. NFLX up 14 today closing at 501.67
3. NFLX has no chart resistance until the 38.2% retracement at 511
4. Breakeven levels on this trade are 496.48 to 503.52
5. The market maker expected move for Friday on NFLX is plus or minus $7.32
6. But you placed a bet on very little movement in NFLX tomorrow.
I appreciate very much your sharing in this Journal and I am going to try learn from you as this strategy may be just what I have been looking for, however I am not sure about this particular trade.
1. NFLX is bouncing strong off the double bottom at 478
2. NFLX up 14 today closing at 501.67
3. NFLX has no chart resistance until the 38.2% retracement at 511
4. Breakeven levels on this trade are 496.48 to 503.52
5. The market maker expected move for Friday on NFLX is plus or minus $7.32
6. But you placed a bet on very little movement in NFLX tomorrow.
I appreciate very much your sharing in this Journal and I am going to try learn from you as this strategy may be just what I have been looking for, however I am not sure about this particular trade.
I guess I know what you will say as I see the dramatically larger OI at both the Put and Call 500 level. In my mind this will implicate the tremendous power of the pin against other major factors that are lined up against the trade. It will be interesting to watch.
Reasoning on the iron flies is they are only lookin to take a quick .50 off ideally on the open if the stock opens near yesterday's close the theta bleads off very fast. Some weeks if I don't see one that looks probably around the OI of the ATM strikes I pass. In NFLX you called it has to do with the OI. These often fill on the open. We'll see what tomorrow brings but the risk tolerance is similar if not smaller than the other positions. I figure in general you have three possibilities with any stock on expiration day: rise, fall, or meander steady. I like the portfolio of weekly flies to have a mix of call up bias, put down bias, and a neutral one here or there. In general I usually end up with more call flies than put flies so I through on some vxx call flies and spy put flies as a hedge against a sharp sell off. So far the win rate has been 45/62. The positions are all based around the edge being a move towards the largest OI.
Week 18 - updates and totals
AAPL 8:16:8 127-130-133 call bot @ $0.88 sold $0.04 -$672
ABNB 2:4:2 135-150-165 call bot @ $2.49 sold @ $0.16 -$466
BABA 5:10:5 215-220-225 call bot @ $1.88 sold @ $0.01 -$935
BLNK 7:14:7 27.5-30-33 put bot @ $0.90 sold @ $0.20 -$490
BTX 4:8:4 15-20-25 call bot $1.81 sold @ $0.05 -$704
DASH 6:12:6 131-135-139 call bot @ $1.31 sold @$1.55 +$144
DDOG 7:14:7 87-90-93 call bot @ $1.04 sold @ $1.34 +$210
ETSY 2:4:2 170-180-190 call bot @ $3.18 sold @ $1.45 -$346
FUTU 4:8:4 127-134-141 call bot @ $1.58 sold @$0.50 -$432
GME 2:4:2 170-200-230 call bot @ $3.01 sold @ $6.60 +$718
MARA 5:10:5 20-24-28 call bot @ $1.80 sold @ $2.05 +$125
MSTR 2:4:2 430-450-470 put bot @ $4.85 sold @ $1.00 -$770
NFLX 5 495-500-505 iron fly sold @$3.52 bot @ $3.30 +$110
NVAX 7:14:7 145-150-155 call bot @ $1.09 split fill average sold @ $0.80 - $147
RBLX 7:14:7 75-80-85 call bot @ $1.09 sold @ $3.00 +$1337
SPY 6:12:6 417-413-409 bot @ $1.00 sold @ $0.44 -$336
TSLA 1:2:1 575-600-625 call bot @ $8.74 sold @ $10.02 +$228
VXX 5:10:5 39-42-45 call bot @ $0.69 sold @ $0.42 -$135
YALA 5:10:5 15-20-25 call bot @ $1.40 sold @ $3.00 +800
ZM 3:6:3 320-330-340 call bot @ $2.50 sold @ $3.17 +201
Total P/L -$1560 commissions P/L net
Winning Trades: 9/20 Winning Trades ytd: 54 / 82
Return YTD: up 3.2%
Reflections:
AAPL 8:16:8 127-130-133 call bot @ $0.88 sold $0.04 -$672
ABNB 2:4:2 135-150-165 call bot @ $2.49 sold @ $0.16 -$466
BABA 5:10:5 215-220-225 call bot @ $1.88 sold @ $0.01 -$935
BLNK 7:14:7 27.5-30-33 put bot @ $0.90 sold @ $0.20 -$490
BTX 4:8:4 15-20-25 call bot $1.81 sold @ $0.05 -$704
DASH 6:12:6 131-135-139 call bot @ $1.31 sold @$1.55 +$144
DDOG 7:14:7 87-90-93 call bot @ $1.04 sold @ $1.34 +$210
ETSY 2:4:2 170-180-190 call bot @ $3.18 sold @ $1.45 -$346
FUTU 4:8:4 127-134-141 call bot @ $1.58 sold @$0.50 -$432
GME 2:4:2 170-200-230 call bot @ $3.01 sold @ $6.60 +$718
MARA 5:10:5 20-24-28 call bot @ $1.80 sold @ $2.05 +$125
MSTR 2:4:2 430-450-470 put bot @ $4.85 sold @ $1.00 -$770
NFLX 5 495-500-505 iron fly sold @$3.52 bot @ $3.30 +$110
NVAX 7:14:7 145-150-155 call bot @ $1.09 split fill average sold @ $0.80 - $147
RBLX 7:14:7 75-80-85 call bot @ $1.09 sold @ $3.00 +$1337
SPY 6:12:6 417-413-409 bot @ $1.00 sold @ $0.44 -$336
TSLA 1:2:1 575-600-625 call bot @ $8.74 sold @ $10.02 +$228
VXX 5:10:5 39-42-45 call bot @ $0.69 sold @ $0.42 -$135
YALA 5:10:5 15-20-25 call bot @ $1.40 sold @ $3.00 +800
ZM 3:6:3 320-330-340 call bot @ $2.50 sold @ $3.17 +201
Total P/L -$1560 commissions P/L net
Winning Trades: 9/20 Winning Trades ytd: 54 / 82
Return YTD: up 3.2%
Reflections:
- First losing week since leveraging up the account size.
- No excuses some flies did not work out win rate much lower.
- I think I did a poor job of legging out of some losers.
- Kicking myself on MSTR going off the board pinned at 17.30 and what did I do but took a loss exiting early near the open. I need to remind myself the wider the strikes give them more time to pin. That would have been a huge winner had I followed my own principals. Waiting on this one alone would have made it another winning week.
- The nuance of this strategy is without a crystal ball you really don't know when to exit. On the open on the close midday certain price? Flies move all over the place on expiration day.
- Thinking of forgetting about the hedging components with vxx or spy if I have a mix of puts and calls.
- Hurts to take a losing week but part of life part of trading. Will reflect and live again to trade some flies next week.
- Wishing all a good weekend.
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Agreed. I really don't think it's necessary to have this hedge as you are only holding your trades overnight on the Thur, and combined with some put flies, it's not worth doing the SPY/VXX trades.
Another observation, if I may - maybe limit the number of different stocks you use. You have 20 flies this week. And there is a certain amount of maintenance for each, even if it's just looking at each one to see how much p/l they are producing at any moment in time. Personally, I have been guilty of having tons of trades open all at once. (At one point in Feb, I had 53 different positions using various strategies). And I was neglecting some of these - unsurprisingly, these positions resulted in losers.
Question - you may have mentioned it someone in the thread, but what is your closing strategy? Is it based on a %age profit for each fly? Or time-based (eg close by 1:00pm ET)?
I made a watchlist containing all your positions and followed along with you today trying to figure out how I would manage them and my head was spinning so I can't imagine how you were doing with sizeable live positions. I entered your BYs into my order screen checking the valuations. You can't be too hard on yourself for MNST as several of your positions went straight south from the git-go but MNST that you wanted to go down went up for the first 40 minutes and you were just salvaging what you could from the position.
There is no answer to this question but I just wonder why a stock like MNST today honed into the pin like a bloodhound and other stocks just seem to ignore it.
For what its worth I priced out your portfolio at 12:30 Central Time excluding SPY and VXX and it was a $305 Gross Profit excluding commissions. These are priced out at the midpoint of the BF spread which is usually obtainable.
There is no answer to this question but I just wonder why a stock like MNST today honed into the pin like a bloodhound and other stocks just seem to ignore it.
For what its worth I priced out your portfolio at 12:30 Central Time excluding SPY and VXX and it was a $305 Gross Profit excluding commissions. These are priced out at the midpoint of the BF spread which is usually obtainable.
Thanks for this feedback. I appreciate it. I think ditching the hedge is in the plan for next week. I think you're right about position sizes. 20 seems to much to manage and I don't notice things like partial fills because it kills the active order on my working screen for some reason and then I find the extra lots hiding in my position page and have to reenter the order. I think going into next week I am going to limit it to ten to twelve flies. 53 is quite alot. I'm also trading a fly account for a friend who had 12 positions on today some similar and their account had another positive week. It's a little overwhelming.
Yes MNST was a curious one today. I exited salvaging early but only to see it pin later. On the other hand I made a profit early in TSLA and then it just sold off. Winners become losers and losers become winners quickly. My head does spin a little but it's pretty fun to watch them spread their wings. YALA was a quick winner. A couple i left on longer turned into losers as the day went on. I like looking in the morning at the bid asks in the stocks and try to narrow in on taking off a few good winners early that look like they will touch the body but really it all changes minute to minute. Is there a way to see how many were temporarily profitable that turned into losers with your software? I'm thinking throughout the day there were more that went winner to loser than loser to winner. NFLX did pin on the Iron Fly enough for a quick buck. How did your FB fly turn out?