Weekly Pin Butterfly Strategy

[Theinkdon]

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.

Okay, so you're managing these more than I had assumed. I pretty much just go with the probabilities: set up the trade based on the current numbers, let it go in or not, set the BTC, then just ride it out.
I like the idea of looking at the Volume also to predict the direction, I'll have to start paying attention to that. And part of the OI discrepancy between us is probably time-of-trade like you alluded to, as well as TW maybe reporting different numbers to you as TDA does to me.
Splitting up orders to go in at different center points sounds good and is something I've thought of too (I think we talked about that some in my first journal. But it just occurred to me that maybe a very narrow IC would perform about the same, but be easier to enter the trade. last night when I was setting up your trades to follow, and found the DASH thing, I was thinking that might be a good candidate for a narrow IC, with its short legs at 180 and 190.

 

[Theinkdon]

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.

Last night I staged iron butterfly 1-lots to mimic yours (or in a few cases deviated a little, like on DASH). I already had an IB on UPST, and I didn't like the looks of SAVE so I didn't do those. I put the asking prices at the Natural Price, but they usually fill better than that:

BNTX 360-380-400 sold 13.35
CRWD 265-275-285 sold 5.35
DASH put in at 175-190-205, but it didn't fill by 10:15, so I cancelled.
FUTU 90-100-110. I thought 95 was too far from spot (6%), plus total OI was slightly higher at 100 than at 95. But it didn't fill.
MSTR 680-700-720 sold 12.65
NVAX 227.5-230-232.5 sold 2.19 Didn't like that 250 was 4% above spot, and looking at the chart I thought today would be down. I wrote "225" in my journal as a price target today, but OI230 was higher than OI225, so I went with that. And OI250 was lower than OI230 when I was looking.
PDD 95-100-95 sold 3.26. 100 was clearly the highest OI so I went with it, but I suspect it will close closer to 95. Did you skew your wings on purpose, and was that the reason?
ZM 335-340-345 sold 3.75. Didn't like 350, though OI was indeed the highest there. Looked at the chart and didn't see it going there today. "There was a 6% pop on news today that mostly fizzled away. And ZM has been hugging 340 all week."

They all got 25% profit BTC orders and I'll just let them ride out. I hope you don't mind me tagging along and posting parallel trades, but this is fun stuff!

 

[caroy]

Week 30 - totals

BNTX 2:4:2 360-380-400 call bot @ $6.96 sold @ $1.95 -$1002
CRWD 3:6:3 265-275-285 put bot @ $4.78 sold @ $4.50 -$84
DASH 3:6:3 165-180-195 put bot @ $4.40 sold @ $6.63 +$669
FUTU 3:6:3 85-85-105 put bot @ $3.95 sold @ $4.75 +$240
MSTR 2:4:2 680-700-720 call bot @ $6.20 sold @ $7.50 +$260
NVAX 3:9:6 225-250-262.5 call bot @ $5.92 sold @ $2.20 -$1116
PDD 5:15:10 92-100-104 call bot @ $3.63 sold @ $4.01 +$190
SAVA 1:2:1 60-80-100 call bot @ $10.04 sold @ $1.40 -$864
UPST 2:4:2 210-225-240 call bot @ $6.35 sold @ $6.00 -$70
ZM 1:2:1 330-350-370 call bot @ $10.00 sold @ $1100 +$100

P/L Commissions Net P/L
-$1,677 $124 -$1,801

YTD Return on Capital YTD
+$5826 +2.3% +29%

Thoughts

• Well the overall P and L for the flies was down but not brutal.
• Need to focus on cutting the losers quickly on the open although with all flies winners become losers and losers become winners.
• Added a view IB's in TSLA, GME, SAVA that were small winners throughout the day.
• Major loss from today was on a five lot 20pt 0 DTE Iron Flies. Sold this bitch at 1390 looking to buy it back at 1340 quick $250 profit. It traded down and then the rally took place. Rolled up the puts took in another 1.25 to add to 13.90 15.10 but bout back in at 19 with made a $2500 loser and made a relatively mild day a shit day.
• I need to think about this 5 lot of SPX its the equivalent of 50 spy and i would never usually put that much risk on one trade so why have I done this during the week on MWF for quick plays. Why not just a one lot? Well burned on this today and will learn my lesson keep it small.
• Above has to do with thinking of other ways to generate alpha outside of the pin fly. I've added the 5 delta strangle with success and have managed a few. The BWB SPX flies don't seem to be open when vol is down as being filled and I need to evaluate their risk anyway.
• Jeff Auguen had some statements in his book on Expiration trading that notes on Iron flies the biggest decay is Friday to Monday. Put on a couple that I have to see how they play out on Monday and entered the AMZN 5 delta strangle end of the day on Friday as well.
• Open to thoughts and comments.

 

[Theinkdon]

Week 30 - totals

BNTX 2:4:2 360-380-400 call bot @ $6.96 sold @ $1.95 -$1002
View attachment 266792

Today seemed like a bad day for butterflies for some reason. On 8 1-lots my PM account lost 94.50, not counting commissions. If I divide that loss by the number of contracts I get (-$12) per lot. Does that math seem right? Trying to compare that to your much-larger $-loss I counted the number of lots you had on (25?), did -1677÷25 and got (-$67) per lot. Is it fair to compare like that, or am I missing something?

Contrary to what I said I was going to do, I closed a few of them early for losses: 1) you were managing them, so I felt it was fair enough for me to, and 2) none of the IBs came on strong like I'm used to them doing on 1 or 0DTE, so I was trying to keep the obvious losers from dragging down the performance too much.

BNTX 360-380-400 sold 13.35. $595 loss. BTC order expired unfilled. I assumed that would be Max loss because spot closed at 358.48, below the long Put, and isn't the calc: "Spread (20/$2000) - Premium (13.35/$1335)" = Max Loss? That would be 665. I shouldn't expect to be assigned short stock on this, right? The Calls expired worthless, and spot closed <long Put, so that should cover/cancel out the short Put, right?

CRWD 265-275-285 sold 5.35. $182 loss. BTC order expired unfilled. Is this how the loss is derived: closed at 282.31, so I should expect to be short 100 shares Monday? And since I'll be selling them at 275, but right now they're worth 282.31, that's 731 in the hole, right? But I get to subtract the 535 premium, so the loss is 731-535=196? That's close to the 182 showing in ToS, so I guess that's about right. Sorry for the noob questions, I just haven't dealt with assignment much.

FUTU 90-100-110. I don't know why I wrote earlier that this didn't fill. It did, at 3.10. BTC order expired. $23 loss. Closed at 96.47, so I should expect to be long 100 of these Monday? 3.53 per share in hole, but minus the 3.10 per share leaves a small loss. I should have listened to you and OI on this one! It closed closer to 95 than 100.

MSTR 680-700-720 sold 12.65. $515 profit. But I let this one close too instead of closing it earlier. It expired ITM on the high side at 710.00 (boy it nailed that strike, which we didn't expect), so Monday I'm short 100sh at 700 I think.

NVAX 227.5-230-232.5 sold 2.19. Bot 2.45, $25 loss. This is one I cut early.

PDD 95-100-95 sold 3.26. Bot 5.07, $181 loss. I'm kicking myself over this one because yesteday I called 95 at the close, just looking at the Wed/Thur trend. And I went with tighter strikes than you, so it closed below my long Put. But 100 clearly had the highest OI, so I agreed with you on that.
Once again: Did you skew your wings here on purpose (92-100-104), and was that the reason, to envelop 95?

ZM 335-340-345 sold 3.75. Bot 1.85, $190. You were profitable too at 350 with your wide strikes, but I'm happy that my reading of the chart panned out, closing at 340.81. Pretty early today I saw that it was headed there, so I lowered my 25% BTC to 50%, and that's what took me out. I wish I'd been watching later because I probably could've gotten another 25% out of it.

Big takeaway for me is that I need to check these EOD and not let them go into expiration. I did that with my real-money acct, but was lax on this PM acct.

Thanks for letting me play along, it was fun. I've never watched IBs that closely before, so it was interesting to see how they act. Will definitely do again next Thursday if you're amenable.
If you have time, could you before the close post at least the symbols you plan to trade Thursday? Or PM them to me. If you just post (or tell me) the symbols without your strikes it might be interesting to see how we each decide to play them.

I read something similar in Sinclair's book about overnights and weekends being free theta decay, so I was planning to incorporate that also.
Glad to see you're still doing the AMZN 5-deltas; let us know if you think starting them Friday seems to be better.

 

[caroy]

Week 31 - Opening Positions

ABNB 7:14:7 155-160-166 calls bot @ $2.12
DASH 8:16:8 190-195-200 calls bot @ $1.64
DDOG 7:14:7 135-140-145 calls bot @ $1.82
MRNA 3:6:3 390-400-410 calls bot @ $3.33
OSTK +8 70 calls @ 1.30
SPY 10:20:10 446-450-455 puts bot @ $1.30
SQ 6:12:6 265-275-285 calls bot @ $2.31
TSLA 2:4:2 730-750-770 calls bot @ $5.40
VIR +10 50 puts @ $1.10
W 4:8:4 270-280-290 calls bot @ 3.75

Thoughts

• Went with the usual ten positions based on OI
• SPY position as feeling with sooner or later the roller coaster takes a dip and with the positions favoring call flies over puts wanted a little downside exposure.
• For OSTL and VIR I went just with the long option positions as the benefit of selling the body of the fly for the theta wasn't worth it after commission for only a few bucks. The money is made on the movement of the ITM/ATM wing so only long the wing for these directional moves.

 

[caroy]

Week 31 - final / totals

ABNB 7:14:7 155-160-166 calls bot @ $2.12 sold @ $2.50 +$266
DASH 8:16:8 190-195-200 calls bot @ $1.64 sold @ $1.76 +$96
DDOG 7:14:7 135-140-145 calls bot @ $1.82 sold @ $3.05 +$861
MRNA 3:6:3 390-400-410 calls bot @ $3.33 sold @ $4.53 +$660
OSTK +8 70 calls @ 1.30 sold @ $1.70 + $320
SPY 10:20:10 446-450-455 puts bot @ $1.30 sold @ $1.40 + $100
SQ 6:12:6 265-275-285 calls bot @ $2.31 sold @ $2.20 -$66
TSLA 2:4:2 730-750-770 calls bot @ $5.40 sold @ $3.00 -$480
VIR +10 50 puts @ $1.00 sold @ $1.30 +$300
W 4:8:4 270-280-290 calls bot @ 3.75 sold @ $4.26 +$204

P/L Commission Net P/L
+$2,261 -$165 +$2,096

YTD Return Return on Capital
+$7,368 +2.9% +37%

Thoughts:

• Overall happy with the week.
• Happy that both straight long option plays in OSTK and VIR were winners with the first foray into this.
• Exited all trades by 9:00 AM. Always mixed on this as winners can become losers and losers can become winners. I might start comparing the theoretical value of each trade had they been held till the close and then compare to my results. It's all discretionary when to exit but I wish there was a way to research what has the best outcome the exit on open or wait till close.
• Earlier in the week lost some on iron flies I put on last Friday at close. Played my 5 delta AMZN strangle for a small winner after rolling down the untested put a couple of times and buying call spreads in front of my naked call. It did touch my wing on Wednesday which was somewhat frightening but I was all cash except for that position and am glad i didn't buy shares as i would have been whipsawed. Think I will continue and add a couple more on monday in TSLA and CMG but play for a smaller percentage of decay 25% of max profit rather than 50% and roll untested at a preset change in delta. Playing around with these concepts.
• Also thinking of the fact that I'm sitting in cash and only trading a small percent that maybe it's time with a pullback in September to just load up on some blue chip stocks. This is an account I'd like to grow to pull money out of to start some small businesses and also plan for the future. Deviates from the original strategy but trying to think about with my goals what strategy is best. I could see staying 10-15% in cash to trade flies with each week but then being long the index a certain percentage and then some other stocks.

 

[caroy]

Comparison to Hold to Close

ABNB 7:14:7 155-160-166 calls bot @ $2.12 sold @ $2.50 +$266 158 close +$616
DASH 8:16:8 190-195-200 calls bot @ $1.64 sold @ $1.76 +$96 193.46 +$1456
DDOG 7:14:7 135-140-145 calls bot @ $1.82 sold @ $3.05 +$861 138.06 +$312
MRNA 3:6:3 390-400-410 calls bot @ $3.33 sold @ $4.53 +$660 416.70 -$999
OSTK +8 70 calls @ 1.30 sold @ $1.70 + $320 69.51 -$1040
SPY 10:20:10 446-450-455 puts bot @ $1.30 sold @ $1.40 + $100 453.08 +$620
SQ 6:12:6 265-275-285 calls bot @ $2.31 sold @ $2.20 -$66 269.74 +$1458
TSLA 2:4:2 730-750-770 calls bot @ $5.40 sold @ $3.00 -$480 733.57 -$366
VIR +10 50 puts @ $1.00 sold @ $1.30 +$300 48.96 +$40
W 4:8:4 270-280-290 calls bot @ 3.75 sold @ $4.26 +$204 273.54 -$84

P/ L to hold +$2,013

Would appear holding till market close this week would not have out performed discretionary closes early in trading day. Of course this presumes execution and no assignment risk. Outside of cash settled SPX does anyone ever get full value out a fly spreading its wings on expy day?

 

[caroy]

Week 32 - Opening Positions

APPS +8 62-65 call spread @ $1.85
BIDU + 4 162.5 calls @ $2.35
BNTX 3:6:3 345-360-375 calls bot @ $4.50
CVNA 10:20:10 320-325-330 put bot @ $1.15
MRNA 2:4:2 430-450-470 puts bot @ $8.39
NVDA +6 225 calls @ $1.36
SAVA 8:16:8 40-45-50 puts bot @ $1.30
TSLA + 2 755 puts @ $4.05
UPST 4:8:4 285-300-315 calls bot @ $3.75
W 10:30:20 262.6-265-270 puts bot @ $1.19
ZM 8:16:8 295-300-305 calls bout @ $1.55

Thoughts:

• Some usual flies based around highest OI
• Went with some long options where selling the guts wasn't worth it. Started playing with this last week with two winners.
• Once call spread in APPS based on the OI
• Kept capital allocation a little smaller not sure why and ended up with 11 positions total.
• Have a couple commodity flies on longer day plays bearish in soybeans and bullish in wheat. Wheat is down a tad and beans up a tad.
• Did the usual AMZN strangle at 5 delta for a winner early in the week at 50 percent capture. Lost a little on some calls in RIOT.
• Am starting to think about what do with this account overall. Trying to decide if I should just take half or more and put into a basket of buy and hold equities. I don't feel comfortable upping the allocation each week and feel in someways i'm missing out buy being all cash.

 

[Theinkdon]

Good luck on your picks this week. I read through your "Vs. Hold to Close" post last week and found it interesting. Did you just look at the closing spot price and calculate the final value of the spread? I'm guessing that, vs. using something like ToS's "OnDemand" feature to step through each trade and see if they ever hit 25% keep-profit. That would be the ideal way to compare vs. early closure, but a lot of work. I started to look at a couple of them that way last Friday, but you have to wait 2 days for the data to be there, and then I forgot. I might go do that tomorrow or the weekend and post it.

I put on a GME IB this morning at 10:17 after the big drop at the open. Not because of the drop, that's just when I looked at it and was looking to make a trade: 177.5-180-182.5, but I'm probably going to regret picking 180 because it closed at 200, which is where it essentially was all week. But at the time both the 180P & 180C had the highest OI. The 180P still does, though the 200P is in a very close second, but the 200C is now 3x the 180C's OI.

Good luck on your APPS spread. I hope it pins at 65 for ya, but that would be new ground for this week. Though it was last there on 8/6, so maybe.
I'm in an APPS short strangle (20-delta at entry) since 8/23 that I've had to roll up and/or out 9 times to keep up with the rising stock price (50 to 64). I'm in a 64-65 22Oct strangle now, and just need it to calm down for a little while.

I like that you're mixing in some straight calls and puts. In my Roth IRA account I started on 9/1 only buying calls (and 1 put) on stocks with momentum. At heart I'm a momentum trader and have done well with that when I've focused on it, so I'm trying to marry that with short-term Call buys in the neighborhood of 2-4 weeks. None of my current holdings match your new picks, but I did well with BRKR (bot 2.30, sold 3.58) and CMRE (0.70 to 1.30). Some losers too, but so far more winners than losers. So we'll see how that goes.

 

[caroy]

Week 32 - closed trades

APPS +8 62-65 call spread @ $1.85 sold @ $1.85 +$0
BIDU + 4 162.5 calls @ $2.35 sold @ $4.51 +$864
BNTX 3:6:3 345-360-375 calls bot @ $4.50 sold @ $7.00 +$750
CVNA 10:20:10 320-325-330 put bot @ $1.15 sold @ $0.62 -$530
MRNA 2:4:2 430-450-470 puts bot @ $8.39 sold @ $10.00 +$232
NVDA +6 225 calls @ $1.36 sold @ $2.00 +$244
SAVA 8:16:8 40-45-50 puts bot @ $1.30 sold @ $0.70 -$480
TSLA + 2 755 puts @ $4.05 sold @ $2.55 -$300
UPST 4:8:4 285-300-315 calls bot @ $3.75 sold @ $4.32 +$228
W 10:30:20 262.6-265-270 puts bot @ $1.19 sold @ $1.35 +$160
ZM 8:16:8 295-300-305 calls bout @ $1.55 sold @ $2.13 +$464

P/L Commissions Net P/L
+$1,632 -$176 +$1,456

YTD returns YTD on capital at risk
+$8,409 up 3.4% +42%

Thoughts

• Overall happy with the week but feel some was left on the table screwing around earlier in the week with trades that deviated from the core strategy.
• Played intraday a couple of SPX flies for some added profits - small position size.
• The straight option plays worked out well except for TSLA which had I held would have been at a certain point mildly profitable. Will probably play more of these positions where the selling the guts isn't worth much on the fly payout and only limits potential winners.
• Call spread in AAPS was a break even touched on the open but wasn't filled.
• Still thinking about what else to do Mondays - Thursday instead of being in all cash. Will continue the AMZN 5 delta campaign which has been successful every week but with some defensive trades the last few go arounds.
• Feeling a September overall sell-off is in the midst next week so am preparing a list of long buy and hold blue chips to perhaps fill up with 50 k of the account balance for long term plays. Can't decide.
• Still in a fly in soybeans to the put side. pressured today but still at the original price. In my wheat fly I bot in the guts and am playing a bounce next couple of weeks. Feeling the grains are in for a limit move in the next week one way or the other.
•