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