Weekly Pin Butterfly Strategy

Week 29 - Update

Entered Following Flies for expiration 8/20/21

BIDU 2:4:2 130-140-150 calls bot @ $6.10
CVNA sold 5 Iron Flies 345-350-355 @ $3.60
FUTU sold 3 Iron flies 80-90-100 @ $5.75
MRNA 2:4:2 370-400-430 calls bot @ $8.80
NVDA 2:6:4 190-205-212.5 calls bot @ $7.55
PTON 3:9:6 101-105-113 puts bot @ $3.91
RBLX 10:30:20 80-85-87.5 calls bot @ $1.54
ROKU 2:4:2 335-360-385 calls bot @ $8.82
SAVA 3:6:3 90-100-120 put bot @ $4.09
SPY - Backspread sold 5 bot 10 440-439 put @ $1.22
TSLA 1:2:1 660-700-740 calls bot @ $14.41
 
Some Random Thoughts on Tuscany

  • TAP or Air Portugal sucks avoid flying through Lisbon. 20 flights all landing at 6AM with not enough agents in passport control a good chunk of people missed their connecting flights and we were without baggage for half the vacation. Not a big issue for me but for the ladies a problem that cost us dearly in clothing.
  • Cortona was a very peaceful hillside city with great views and of course it was Italy so the food was fabulous.
  • Fell in love with the Aperol Spritz as a warm weather apertivo before dinner.
  • Gelato gelato gelato - pistachio the best in my humble opinion.
  • Interesting tour of Assisi and all it had to offer.
  • Truffle hunt cancelled due to the hottest week on record in Italy but the hot air balloon ride was something interesting. Landed on a field where the Americans helped defeat the Nazis and low and behold the site of a battle my grandfather flew his Thunderbolt over as part of the Army Air Corps. Picked up a rock from the field - best souvenir I could muster. Not sure if he dropped bombs on this field per say but the battle matched up to the ones listed on his unit's tour. Small world.
  • Our guides were great. Our young wine expert commented on the failure of democracy in Italy and the tyranny of too many immigrants. Of course when pushed on who picks all the olives and grapes by hand it isn't Italians. I think he was leaning not towards socialism but perhaps longing for a fascist past. A little scary. I've never understood the anti-immigrant sentiment. Perhaps being from the land of immigrants I just don't get it. If you don't like it pick your own grapes and olives. Maybe being a more homogenous country it irks people more. With a low and falling birth rate someone has to provide the labor.
  • Without a vaccination card or a green pass all admission to indoor sites restaurants and bars were not allowed. Their vaccination rate trumps ours at the moment. And apparently Italian style is to wear your mask around your elbow rather than your wrist when outside. Makes it easier to talk with your hands I suppose.
  • Loved the later dinner times at first seating at 8 and second at 10:30. It's been ten years since I've been over the pond and that custom was lost on my memory.
  • Gal pals are both gluten intolerant but found the pasta and breads made from the older eikorn or varna wheat variety didn't cause any issues unlike the GMO stuff stateside. Only issue they had was with mass produced Peroni or Morretti beer. This lead to some happy women on the trip.
  • Trading hours would be 3:30 to 10:00 pm. Doable as a retirement spot for sure with the 10:30 dinner seating.
  • Always nice to be home. Was a good trip in many ways. Learning, eating, loving, sleeping, sweating in the Tuscan sun, and enough red wine to make it all merrier. A new fan of brunello and vincente.
  • If interested in a Tuscan get away happy to provide the details for Cortona and the company that arranged all the experiences.
  • Lots of conversation with our guide on his own experiences in the U.S. He much prefers American women over Italian. Can't say I've dated an Italian to compare. Also convinced our salaries are large compared to theirs which may be true but we do have to fund our own retirement, pay for our kids to go to college, and have a higher tax burden related to property. He seemed to believe our version of democracy works much better. Generally meals seemed much cheaper. A couple of spritz, an antipasto, couple of pastas for first plate, and second plate, coffee, and dessert for two usually ran 70 euros. I don't think I'd be out the door for that cheap of a price in my little midwestern town. And the covid test to come home was 22 euros versus $160 at O'Hare before flying out. Of course the old doctor at the pharmacy scratched your brain whereas the tech at O'Hare barely touched your nostril. Go figure.
 
Week 29 - Final Tally

BIDU 2:4:2 130-140-150 calls bot @ $6.10 sold @ $7.61 +$302
CVNA sold 5 Iron Flies 345-350-355 @ $3.60 bot @ $3.24 +$180
FUTU sold 3 Iron flies 80-90-100 @ $5.75 bot @ $4.75 +$300
MRNA 2:4:2 370-400-430 calls bot @ $8.80 sold @ $5.82 -$596
NVDA 2:6:4 190-205-212.5 calls bot @ $7.55 sold @ $9.05 +$300
PTON 3:9:6 101-105-113 puts bot @ $3.91 sold @ $3.76 -$45
RBLX 10:30:20 80-85-87.5 calls bot @ $1.54 sold @ $2.25 +$710
ROKU 2:4:2 335-360-385 calls bot @ $8.82 sold @ $12.75 +$786
SAVA 3:6:3 90-100-120 put bot @ $4.09 sold @ $4.00 -$27
SPY - Backspread sold 5 bot 10 440-439 put @ $1.22 sold at $45 -$380
TSLA 1:2:1 660-700-740 calls bot @ $14.41 sold @ 23.00 +$851

P/L +$2,381 Commissions: $142 Net P/L +$2,239


YTD performance +$9,326 +3.7% YTD on risk capital up 46%

Thoughts:
  • Happy with the week and results. Back within range of all time net liq high for account.
  • Did sell AMZN 5 Delta Strangle for income on Monday. Closed Thursday for a winner.
  • Back spread in SPY was not needed.
  • A couple 0 DTE 20 pot Iron Flies in SPX one Monday one Friday for some small gains.
  • Unfilled on the BWB 16 delta 1DTE put flies which was probably providential.
  • Will up allocations slightly next week.
  • Trimmed losers early.

net liq 16.JPG
 
@caroy Hey, it's Mike from the 20-delta SS Journal. You're a good man for laying this out every week and for sticking with it. I think you should totally get to take credit for ROI on capital at risk, so I'm glad you started doing that. In fact, I personally would drop the other number that's based on total capital. I'm glad the AMZN 5-delta short strangles have been working from you.
I've been studying butterflies a lot the last few days since we talked about them. I've finally come to understand that the risk profiles of a Long Put Butterfly, Long Call Butterfly, or Iron Butterfly are exactly the same (within a dollar or two anyway on max loss/max profit). I see that you bounce between Call and Put butterflies (leaving out Iron for the moment), and at first I didn't understand why you'd choose one over the other, so I searched and found this Reddit/options post that I think explains it:
"They are synthetically the same trade. One thing you can think of is assignment, if you believe the underlying will trade higher, go for puts. If it’s gonna trade lower go for calls. So if the worst happens and you get max loss, and you let your fly expire (not advised), you can take that max loss without having to deal with assignment and paying exercise/assignment fees. But that’s a tiny difference it’s negligible."​

Is that the idea, that if the stock finishes above a Puts center then the Puts are worthless and you don't have to worry about them? Same if price ends below a Calls center? And I think you've been calling those 2 center short options the "guts" of the butterfly? That confused me at first because there's a trade called "Guts" that's a backwards strangle (similarly, "Short Guts" is a backwards short strangle). But you don't mean "guts" like that do you? Are you referring to what a lot of people call the "body" of the butterfly?

Iron Butterflies, I'm really digging them. Started trading narrowest-possible shortest-DTE IBs in a TDA paper-money account a couple days ago and they've been phenomenal. Worked 6 of them into my real-money account as 1-lots, and they haven't done as well, so I'm beginning to wonder if ICs trade differently in PM than real. Anyway, assuming that the risk profiles are all the same, is there any reason to NOT just go with Irons? They appeal to me the same way short strangles do: let me get paid first, then let the market try to take that money back. But is it that if you're short a put AND a call in the middle, then wherever spot is, one of those is always going to be ITM and therefore subject to early assignment? Or is there some other reason?

Oh, and why don't you use GTC buy-to-close orders at 10 or 20% like we've talked about? Seems like that would make your Friday mornings less hectic, but you probably have a reason. I've been using 25% in the PM acct and they've been coming off with zero effort. I think I've decided that if they go to max loss I'll just take that, but I'm not firm on that yet.

Looking forward to your picks today so I can play along now that I'm caught up!
Be good,
Mike
 
Theinkdon said:
@caroy Hey, it's Mike from the 20-delta SS Journal. You're a good man for laying this out every week and for sticking with it. I think you should totally get to take credit for ROI on capital at risk, so I'm glad you started doing that. In fact, I personally would drop the other number that's based on total capital. I'm glad the AMZN 5-delta short strangles have been working from you.
I've been studying butterflies a lot the last few days since we talked about them. I've finally come to understand that the risk profiles of a Long Put Butterfly, Long Call Butterfly, or Iron Butterfly are exactly the same (within a dollar or two anyway on max loss/max profit). I see that you bounce between Call and Put butterflies (leaving out Iron for the moment), and at first I didn't understand why you'd choose one over the other, so I searched and found this Reddit/options post that I think explains it:
"They are synthetically the same trade. One thing you can think of is assignment, if you believe the underlying will trade higher, go for puts. If it’s gonna trade lower go for calls. So if the worst happens and you get max loss, and you let your fly expire (not advised), you can take that max loss without having to deal with assignment and paying exercise/assignment fees. But that’s a tiny difference it’s negligible."​

Is that the idea, that if the stock finishes above a Puts center then the Puts are worthless and you don't have to worry about them? Same if price ends below a Calls center? And I think you've been calling those 2 center short options the "guts" of the butterfly? That confused me at first because there's a trade called "Guts" that's a backwards strangle (similarly, "Short Guts" is a backwards short strangle). But you don't mean "guts" like that do you? Are you referring to what a lot of people call the "body" of the butterfly?

Iron Butterflies, I'm really digging them. Started trading narrowest-possible shortest-DTE IBs in a TDA paper-money account a couple days ago and they've been phenomenal. Worked 6 of them into my real-money account as 1-lots, and they haven't done as well, so I'm beginning to wonder if ICs trade differently in PM than real. Anyway, assuming that the risk profiles are all the same, is there any reason to NOT just go with Irons? They appeal to me the same way short strangles do: let me get paid first, then let the market try to take that money back. But is it that if you're short a put AND a call in the middle, then wherever spot is, one of those is always going to be ITM and therefore subject to early assignment? Or is there some other reason?

Oh, and why don't you use GTC buy-to-close orders at 10 or 20% like we've talked about? Seems like that would make your Friday mornings less hectic, but you probably have a reason. I've been using 25% in the PM acct and they've been coming off with zero effort. I think I've decided that if they go to max loss I'll just take that, but I'm not firm on that yet.

Looking forward to your picks today so I can play along now that I'm caught up!
Be good,
Mike
More...
@mike
Thanks for the post and for reading through my meandering journal. Yes the profiles of a put fly, call fly, and iron fly are all essentially the same. I never hold them into expiration except for the SPX that are cash settled. I don't like waking up Saturday and being long or short shares one way or the other so I'm usually out rather early on Friday. I traded and IB in TSLA in and out today in half an hour for a $100 scalp on a five lot. I'll post my ten flies heading into tomorrow soon all based around highest open interest. The AMZN 5 delta worked again this week. I rolled down and added some protection and then took all of those off earlier today for a decent net profit on the week from those trades. It's becoming my usual monday trade and then adjusting as the week goes on only when needed.
 
Week 30 - Opening Positions

BNTX 2:4:2 360-380-400 call bot @ $6.96
CRWD 3:6:3 265-275-285 put bot @ $4.78
DASH 3:6:3 165-180-195 put bot @ $4.40
FUTU 3:6:3 85-85-105 put bot @ $3.95
MSTR 2:4:2 680-700-720 call bot @ $6.20
NVAX 3:9:6 225-250-262.5 call bot @ $5.92
PDD 5:15:10 92-100-104 call bot @ $3.63
SAVA 1:2:1 60-80-100 call bot @ $10.04
UPST 2:4:2 210-225-240 call bot @ $6.35
ZM 1:2:1 330-350-370 call bot @ $10.00

See what tomorrow brings.
 
@caroy Do you mind some questions/differing opinions on these plays? I'm playing along, staging these trades (or similar) in my PM Iron Butterfly account to go in at the open tomorrow. I'm doing them as IBs because I'm more familiar with them, but they should be about the same, right?

BNTX & CRWD I see why you chose those centers, and I "agree" (given I'm new to the OI angle). I'm playing your wide-ish wings too so I can compare them to the tight IBs I normally do. I have to say I don't like the Max-Profit : Max Loss ratios as much, but the PoPs are better, and like you said to me the other day, if we're just trying to catch 10 or 20% then PoP is probably effectively much higher.

Interested in your reasoning on the DASH 180 center though: spot is at 191, so to hit 180 tomorrow would require a 6% drop, and just looking at the chart I see up-to-flat tomorrow. But most importantly, do you add up the OIs on both sides when picking strikes? Because at 180 they sum to 1486 (TDA Thinkorswim after hours). While for the 190, the ATM strike, they sum to 1629. The 180 definitely has the highest OI for PUTS, but the 190 has the highest for CALLS. I wonder if you've learned to favor one side over the other, or have you looked at adding them together?
Thanks,
Mike
 
Theinkdon said:
@caroy Do you mind some questions/differing opinions on these plays? I'm playing along, staging these trades (or similar) in my PM Iron Butterfly account to go in at the open tomorrow. I'm doing them as IBs because I'm more familiar with them, but they should be about the same, right?

BNTX & CRWD I see why you chose those centers, and I "agree" (given I'm new to the OI angle). I'm playing your wide-ish wings too so I can compare them to the tight IBs I normally do. I have to say I don't like the Max-Profit : Max Loss ratios as much, but the PoPs are better, and like you said to me the other day, if we're just trying to catch 10 or 20% then PoP is probably effectively much higher.

Interested in your reasoning on the DASH 180 center though: spot is at 191, so to hit 180 tomorrow would require a 6% drop, and just looking at the chart I see up-to-flat tomorrow. But most importantly, do you add up the OIs on both sides when picking strikes? Because at 180 they sum to 1486 (TDA Thinkorswim after hours). While for the 190, the ATM strike, they sum to 1629. The 180 definitely has the highest OI for PUTS, but the 190 has the highest for CALLS. I wonder if you've learned to favor one side over the other, or have you looked at adding them together?
Thanks,
Mike
More...
Hi Mike,
Good questions. I usually look across both call and put OI at the same strike. Sometimes it's difficult as I've been told TW doesn't update the OI figure until the next day so I will also look at the daily volume at the strikes as well to see the direction. It would be a big drop for DASH to call all the way to 180. If they are split 180 on puts 190 on calls I go with 185 as the targeted move. Looking at the set ups this morning it looks like most are going to move in a favorable way so now I'm up adjusting my orders based on where I anticipate they will open. For larger lots I'll split the closing orders up at various prices and then report the average fill on the journal. I used to wake up and look multiple times a night but this proves to be worthless as it changes around quite a bit overnight so it isn't worth looking at until the morning as there isn't anything I can do about it anyway. I suppose I could hedge delta in the afterhours but these are all directional plays anyway with a delta bias.
 
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