I'm still trying to claw my way back to profitable. My SPX calendar, which I rolled up 3 times and then turned into a double calendar, is now profitable. I'll probably take that off on Monday or Tuesday. I still have some pieces of the MNX double diagonal on, with no hope of profitability, but trying to recover some losses. I'm around -8% on that trade. And I have what started as a couple butterflies in RUT. That trade is still underwater, but I have a relativily low delta with theta >300. I'll try to hold that for another day or two to collect that theta and get out.
September expriation:
I liked that XLE DD that I put on so much, I doubled my position. XLE had moved up a little when I decided to double, so I chose 1 point higher on the call side. I'm currently up 7% and still perfectly centered. Max gain (in the saggy part) is 25%, so I'd be looking to take profits around 15%.
My MNX double diagonal is also fairing well, almost perfectly centered and up about 4%. Max gain (sag) is about 15%, so will look to take profits around 10%. This trade has developed a little tilt. I'll have to watch that, maybe purchase a Oct call to help with the fast slope on the up side.
The RUT fly is going well also. I'm up 9%, but I don't have any plans to take profits any time soon. In fact, I'm looking to double and most likely triple my position. My plan is to add another fly when RUT hits 550 or 590, but RUT has been behaving well and hasn't gone there yet. If we don't hit those points by Thursday, I'll probably add another fly ATM, just so I can get the capital in use.
I put the second tranche of my RUT iron condor on. Since RUT didn't move much since the first tranche, I ended up using the same strikes. The first tranche collected $1.48, whereas the second one netted $1.35, 5 days later. I sold the second one on 8/11, on a 10-point down day, to take advantage of the higher vols on that day. Vols dropped about 2 points the following day, as RUT recovered with a 10-point gain. Even the large drop on 8/14 didn't cause vols to climb much. Not much theta has ticked out of this trade yet, so I'm up only ~3%. Max yield is 12% and looking to get about 10% out.
Watches:
As previously mentioned, I'll probably add another RUT butterfly this coming week. I'll most likely add a SPX Sep/Oct calendar. Possibly a OEX butterfly.
Posts
Hi Chad,
ReplyDeleteHave you considered condorizing your butterfly now that you are up 9%. You would buy back the 570s and sell the 530 & 630. This would give you a lot more room in this choppy market.
Take a look and tell me what you think.
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ReplyDeleteWhile the conversion to the condor would extend my expiration break evens out 10 points on each side, it comes at a significant price if done now. That is, it takes my theta of 40 down to a theta of 11. That means I'm making money at about 1/4 the rate, meaning I'll have to stay in the trade 4 times longer to make the same money. A benefit of the condor is that it does remove a lot of risk from the trade, but at the same time, it removes the possibility of making a lot of money. The expiration yield of the condor is about $1000 if you wait to expiration (32 days), but the current butterfly has the potential to make $1000 in just 12 more days.
Bottom line is, if you wanted to take some risk off the table (resulting trade would have 1/3rd the risk), condorizing would be good. But for this trade, I'm actually looking to add more capital (3x more) before I'm finished, and I'm also looking to make a lot more money than $1000...at least that's the plan. I do have a large condor trade on, and at this time, I'd prefer to keep it a butterfly.
Thanks for the suggestion and allowing me to look at new possibilities.
Chad
Thanks for the response Chad.
ReplyDeleteYou're right about the expiration yield.... it's definitely not as good as a butterfly if you condorize the trade. I put my rut butterfly trade on Friday (I wish I had put it on when you did at 38 days I'd be up 9% to and could condorize the trade.
I consider conderizing my butterflies inorder to decrease the stress of managing to butterflies ... the ndx & the rut.
Do you always put them on at 38 dte. And how do you add more contracts? ie... 1/3 at 38 dte then 1/3 at 35 dte and so forth?
Thanks,
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ReplyDeleteNo, I don't always put them on the same date. More like a date range, maybe 30-40ish days out.
As for how I'm adjusting, I mentioned it in the post:
"My plan is to add another fly when RUT hits 550 or 590, but RUT has been behaving well and hasn't gone there yet. If we don't hit those points by Thursday, I'll probably add another fly ATM, just so I can get the capital in use."
Today we went below 550, so I added the fly, as written about in today's blog posting.