Closed NOV Butterfly

Today 10/22/12 I sold the NOV butterfly with long call at a gain of $300. less the commissions $27. for a gain of  $273. approximately  5.5% on the $5000. capital put aside for the trade

Delta Correction

On 10/19/12 I sold a 805/815 call vertical to correct the Deltas

Adjustment on 10/16

On 10/16/2012 I bought an 810/820 call debit spread for $715. to bring the deltas to near zero today after the market close the deltas are up to about -3.85 if the RUT continues up I will add debit spreads to adjust the deltas.

One week no changes

I entered the position 7 days ago and all the greeks are good with approximately  an unrealized gain of about  2%.

Below is a 3 month daily chart of the RUT

And below is a 3 month chart of the RVX

November Butterfly with Long Call to Reduce Deltas

I entered an 810 RUT put Butterfly with 50 point wings with a 78 IWM call and an 815/825 RUT call debit spread to control the deltas. The risk graph:

The one year daily price chart looked like this:

May RUT Butterfly

On 3/28 I entered a RUT Butterfly at 810 for $1100., the RUT never traded up to the first add point at 850and I sold the 810 Butterfly today 4/9 trading down to the high point of the T+1 curve where the delta gets close to zero, so I sold it for $1570. This left a profit of $470 less the $12. charged for the commissions.
Profit of $458.

Closed the Trade

Yesterday on March 21st I sold the 810 butterfly for $1555. and today I sold the 830 butterfly for $2020. The total commissions for the trade were $48. and a loss of $485. 

Adjustments

I sold the 770 and 790 put butterfly for $560 and $865 respectively and bought the 810 and 830's. The RUT hit the  830 add point and still  had a delta theta ratio over 1.5 so I rolled the lowest butterfly to 830, this gave me a delta theta ratio of around one so this is good. I also anticipated a problem of going over the maximum amount allotted for the trade of $5000. so i kept it as a 2 butterfly trade. The RUT is now at 1:52 PM 842.97 so there is a good chance that it will be above the 840 roll point at 3:30 that I use for the official check the trade time so it would have triggered the roll to 830 anyway.

Risk graph after the adjustments

RUT Closed Above Add Point

The RUT closed at 831.23 above the second add point but had a large up move during the last hour, strong retail sales had the markets going up from the open there was= a Federal Reserve Board meeting in the middle of the day where the market traded in a range and then went sharply higher after JP Morgan announced a buy back program and raised their dividend,  I did not add the butterfly at 810 today.

One Day One Minute RUT Chart

First Add Point

We hit the first add point at 810 today so I added the second RUT butterfly for $1170. the Market went up sharply today after a solid jobs report and progress on the Greek debt crisis.

Five day five minute chart

Risk graph after first add

RUT Butterfly

I reentered the RUT butterfly with the short strike at 770 at a price of  $1160. The add points are at 810 and 830. Roll points are at 840, 850, 860, 870, 890, and 910.

Daily Price  chart 1 year

Risk graph of the RUT butterfly

Sold RUT Butterfly

Risk Graph of RUT

Today the butterfly hit the sweet spot where the delta got very close to 0 at the top of it's t-0 line, for $1530.  The $1530 minus the $1070 it cost leaves $460 less the $12. in commissions gives a profit of $448. that is 9.1% of the $5000. allotted for the trade or almost 42% of the $1070. that was actually used.

3month daily price chart of the RUT

I exited the march bearish butterfly today with a profit of $262, this is.over the $200. reduced target being less than 21 days till expiration. Total commissions paid during the trade were $192.leaving a net of $70.

Yearly chart of RUT

I then entered a RUT Bearish Butterfly  that is much more efficient in terms of the commission. the 750,800, 850 Butterfly for a price of $1070.so when It reaches 840 and 860 I will add butterfly and will roll at 860, 870, 880, 890, 910, 930 and so on. I will roll the butterfly back to the closest ATM strike if the price exceeds 40 points below the short strikes. Adjustments may also be needed if the Delta/Theda ratio is greater than 1.5 or the delta exceeds 25 (during the 1st third) in an absolute basis.

The Risk Graph of the 800 Butterfly

The 5 day 5 minute chart with the red line showing the first add point

The profit target is $1500.

Reduced profit target 21 DTE $500.

Max loss is $1500.

Second Add Point

The second add point of 82 has been reached so I added 4 IWM 80 butterfly. After the add the 1.5 to 1 delta/theta ratio was still exceeded so I had to roll the lowest butterfly up 6 points to 82.

The risk graph after the changes

the price chart

At this point in the trade we have bought 4 butterfly 3 times for a total price of $1488. and rolled the lowest butterfly up 6 points to keep the delta/theta ratio in the proper range (1.5 to 1)  at the price of $368. for a total of $1856 in the trade.

The commissions till this point in the trade are $120.

This trade is a lot more cost efficient using the RUT, its 10 times larger than the IWM  but has identical underlying  stocks. so the commission cost should be 1/10th of the trade using IWM.

The trade is down $340.

First Add Point

this is the price chart on 2/1/2012

Today the IWM went over the 1st add point of 80 so as per the rules we should add 4 butterfly positions with short puts at 78, my acct is a little short so I will put on 3 butterfly positions now and deposit and bring it up to 4 within a few days. the position is forgiving at this point (early) in the trade so it should not be a problem.

This is the risk graph after the 3 butterfly were added

Some Additional Rules for the Bearish Butterfly Trade

In addition to the previous stated rules for my trade on1/20/12 I will adjust the trade if it exceeds a Delta of 100 or a Delta/Theta ratio of 1.5 in absolute terms. As of now everything is going as planned

Trade entry

1/20/12

March IWM bearish butterfly trade
Profit target: $600.
Reduced profit target if the trade gets closer than 21 days till expiration:$200.
I will exit the trade on the Friday before expiration if the targets are not hit.
My maximum loss will be $600.
I will add 4 butterfly when IWM gets to 80 and  82
After that I will roll the lowest butterfly up 6 points at  83, 84, 85, 86, 88, 90.