Weekly Pin Butterfly Strategy

Theinkdon said:
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.
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I used the closing price to do the calculations. Am trading on TW so don't have the TOS ability to go back and look at prices at certain moments throughout the day. Am thinking of doing the same comparison this week. Although with flies outside of cash settled spx I don't know how without the exposure of pin risk one would ever make the actual max profit other than in theory.
 
Good numbers this week! But before I ask you about some of those trades:

I went back to LAST Friday and ran your only 2 losers through ToS's OnDemand feature. It's kind of clunky and time-consuming to follow a trade through time, but there might be a way to see an end-of-day P&L curve, which I haven't looked into yet.

SQ with a 25% take-profit GTC order would've been a winner. You bought it Thursday for 2.31, so 25% profit would be selling at 2.88 (higher though to account for commissions). It opened Friday at 2.28, then climbed as high as 2.80 by 10.00 (which wouldn't have hit a 25% BTC), but then down to at least as low as 1.25 at 11:20. You must've sold before that, at 2.20 (was it around 10:08?). But then it gained value as SQ rallied to 270 starting about 11:00. At 12:00 the spread was worth 3.01 and could've been sold for 25% profit net of commissions. At 13:00 it was worth 4.44, and at the close it was worth 4.89.

TSLA was a loss from the start though, opening at 732 and closing at 724 against your 730-750-770 call butterfly.

After running SQ I was going to say, "Maybe stick with the TT automatic 25% order and let the probabilities play out?" (Full loss or 25% profit, is that the TT way?) But after seeing that TSLA would've been a full loss, now I'm thinking maybe a 50% stop-loss? I think that would've kept you in the SQ trade until it had time to play out as a winner, but not by a lot, and a 25% stop on the bad side would've definitely taken you out.

Thoughts on any of this? I know you're busy at work Friday mornings, so have you ever looked at setting stop-limits on one or both sides?
 
Got curious about the idea of a 50% stop-loss with a 25% take-profit, so I ran your smallest winner from LAST week, DASH, which you bought for 1.64.
At the low of the day, ~11:45, it was worth 1.24, so a 50% stop-loss (0.82) would've kept you in the trade.
At the high of the day, ~12:45, the spread was worth 2.78, so a 25% take profit (2.05 plus a little for commissions) would've exercised before then. Assuming it exercised at 2.05, you'd have made 0.29 more per-contract on that trade, or $232 more on that 8-lot. That's 2.4x the $96 you actually profited on the trade (both before commissions).
And at the close it was worth more than 3.30, so a good 50% could've been gotten out of it if one had time to babysit it.

Please know that I'm not criticizing, just running the calcs for my own learning and sharing them here because you might be interested.

Btw, the one IB I had on for today, GME 177.5-180-182.5, closed for a full loss. But because the P:L ratio on that was about 8:1, the actual dollar loss was only $30 per contract.
 
Theinkdon said:
Got curious about the idea of a 50% stop-loss with a 25% take-profit, so I ran your smallest winner from LAST week, DASH, which you bought for 1.64.
At the low of the day, ~11:45, it was worth 1.24, so a 50% stop-loss (0.82) would've kept you in the trade.
At the high of the day, ~12:45, the spread was worth 2.78, so a 25% take profit (2.05 plus a little for commissions) would've exercised before then. Assuming it exercised at 2.05, you'd have made 0.29 more per-contract on that trade, or $232 more on that 8-lot. That's 2.4x the $96 you actually profited on the trade (both before commissions).
And at the close it was worth more than 3.30, so a good 50% could've been gotten out of it if one had time to babysit it.

Please know that I'm not criticizing, just running the calcs for my own learning and sharing them here because you might be interested.

Btw, the one IB I had on for today, GME 177.5-180-182.5, closed for a full loss. But because the P:L ratio on that was about 8:1, the actual dollar loss was only $30 per contract.
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Thanks for the feedback and running the numbers. For Iron Butterflies I'm happy to take 25% out of them. On a directional put or call fly the risk to reward ration on the set ups is usually higher in the range of 3 to 4 to every dollar risk. For these set ups I look for what the market will give me usually adjusting based on what the opening range looks like. For flies with multiple lots say an 8 lot I might segment orders selling 2 for x 2 for x + 50, 2 for x + 100 and then I'm reporting the average fill price. Last week I did not do any breaking up the orders but this week I did on a few of them. But figuring out these exits is the ongoing struggle for more consistent probability. For example today with the long TSLA puts I sold them for a small loss. Had I waited till the close of the market TSLA sold off 20 points and those puts went off the board around 18.00 I believe so 1395 winner times 2 would have been an extra $2,800. Missing those types of winnings by having exited is a shitty feeling even on an up week. But If I can determine that its more likely that hanging around till close leads to more losers than winners it's easier to stomach. In some sense it's just so discretionary with the exits. The set ups are pretty consistent and I stopped keeping track but I think it is somewhere around 80% of my trades move initially in the direction I wants using solely expiration day Open Interest as the set up. It's maximizing the pins and minimizing the losses. Without the crystal ball I've pretty much settled on just taking what the open can give me but occasionally let one play out. ZM was all over today. It's a case in point as well. Exited for a winner but the intra day range had it a loser after I exited and then by the close came back to be what would have been a bigger winner.
 
Week 33 - Opening Positions

AAPL +10 149 calls bot @ $0.53
ABNB +4 170 puts bot @ $2.65
COIN 4:8:4 240-250-260 calls bot @ $3.75
GS +3 395 calls bot @ $3.45
LULU 5:10:5 410-420-430 puts bot @ $2.75
MRNA 3:6:3 435-450-465 calls bot @ $4.75
NFLX 5:10:5 585-600-615 calls bot @ $3.50
NVAX 2:4:2 230-250-265 calls bot @ $6.80
UPST 1:2:1 280-300-320 calls bot @ $9.55
ZM +8 280 calls bot @ $1.20

Thoughts
  • Went with ten positions
  • Had made a grand or so during the week mostly with some options on /ES playing sell offs.
  • Went with straight calls or puts where selling the guts didn't look promising
  • Positions based on highest OI for expiration tomorrow.
 
Week 33 - Results


AAPL +10 149 calls bot @ $0.53 sold @ $$0.13 -$400
ABNB +4 170 puts bot @ $2.65 sold @ $1.00 -$660
COIN 4:8:4 240-250-260 calls bot @ $3.75 sold @ $5.00 +$600
GS +3 395 calls bot @ $3.45 sold @ $0.85 -$780
LULU 5:10:5 410-420-430 puts bot @ $2.75 sold @ $1.70 -$525
MRNA 3:6:3 435-450-465 calls bot @ $4.75 sold @ $2.13 -$486
NFLX 5:10:5 585-600-615 calls bot @ $3.50 sold @ $4.00 +$250
NVAX 2:4:2 230-250-265 calls bot @ $6.80 sold @ $5.00 -$360
UPST 1:2:1 280-300-320 calls bot @ $9.55 sold @ $14.00 +$445
ZM +8 280 calls bot @ $1.20 sold @ $4.00 +$2,240

Intraday
SPX 3:6:3 4405-4425-4445 bot @ $7.70 sold @ $8.50 +$240
SPX 2:4:2 4425-4430-4435 bot @ $1.10 cash exp @ $2.01 +$182

P/L Commissions Net P/L
+$744 -$100 +$644


Thoughts:
  • Although more winners than losers the ZM saved the day from the fly perspective.
  • Not happy though as I wasn't very disciplined and dicked around with a stupid ten lot of call spreads in that crazy bitch MRNA that wacked me down a bit overall on the net liq. It could have been worse. Was just getting greedy. Some mythical problem with pushing the net liq above 260k to a new high. Stupid. Take what's there be happy the flies were up with shit day and move on. Plus it was a distraction from the day job which now means I will spend all weekend making up what I put off today. And really there was no plan to it. Wasn't based on a defined strategy just stupid trades.
  • I'm starting to get some traction playing the last 20 minutes of MWF with SPX flies. This is the first time I let one go off as truly cash settled so will be interesting to see the statements and whether there are any assignment fees and how they do the settlement. I just haven't traded SPX all that much other than some mid day Iron Flies that I'm moving away from.
  • The long calls really saved the day and once again like the TSLA puts last week had I just held they would have been a much larger winner. I like these in these stocks that move like crazy W, PTON, UPST, FUTU, Z, ZM.

Overall Performance YTD Return on Risk Capital
$7,591.22 Up 3% Up 38%

week 33.JPG
 
I used to do a lot of selling SPX Iron Condors and letting them expire on the M W F expirations. At that time I think there was a flat $15 fee but I think I read recently that (at least at TOS) they eliminated the fee. It looks really weird on your statements as they show the full value as a purchase and a sale.
 
Cash Settlement is definitely the way to go as you cannot get true value even just a couple of minutes before the close plus letting it settle avoids commissions.
 
Illini Trader said:
Cash Settlement is definitely the way to go as you cannot get true value even just a couple of minutes before the close plus letting it settle avoids commissions.
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I agree. I had one almost perfectly pin yesterday. Bot 1:2:1 4380-4395-4410 put fly @ $3.70 around 2:15 pm. Went off the board at 4395.65 about as good as it gets for 45 minutes worth of work. Cash settle this morning at $1436 or a 388% return. If only I had the balls to size up. Thinking about on winning M,W,F taking half the profits and playing these flies in the last ten minutes. But damn that $5 exercise fee. I've only traded a one lot on this fly is it $5 per option for the settlement or just $5 overall regardless of size?
 
Week 35 - Opening Trades

APPL 15 146 calls bot @ $1.16
ABNB 5 175-180-185 Iron Flies sold @ $2.00
AFRM 10 125 puts bot @ $2.10
BA 5 215-220-225 Iron Flies sold @ $2.34
BYND 10 112 calls bot @ $1.72
DASH 4:8:4 200-210-220 puts bot @ $3.45
DDOG 10 147 calls bot @ $2.00
GME 6:12:6 190-200-210 calls bot @ $3.11
NET 10 137 puts bot @ $1.70
TWTR 20 67 puts bot @ $0.78

Thoughts:
  • Positions based around pinning strikes.
  • Pissed at my execution on fills had two buys versus sells being sloppy that I had to buy back and feed the market makers. I need to just be more careful with trade entry. Really no excuse for that and the wasted few hundred bucks buying them back.
  • Hoping for some volatility tomorrow and some big swings one way or the other with these straight long option bias this week.
 
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