Thursday, July 23, 2009

07/23 MNX Iron Butterfly

As Planned Yesterday, I added a long contract when we broke the 97.3 area, this cut my deltas and kept the P&L under control as we fired up. When MNX was trading at 160 I went ahead and added a smaller iron butterfly to increase the theta and expand the up-side expiration break-even on the graph.

My next step, likely to do it Tomorrow is to start rolling the short CALL contracts, at this point they are not making me any more money and I need to roll them up. I will look into using a debit spread to move the CALL contracts, if the deltas get too negative after I roll, I'll sell one of the long SEP CALLs I bought.
In my backtesting, I've seen difficult trades where the iron butterfly recovered, I still trust this one will make it through. Also, note that the TOS risk profile is messed up, it probably has some bad data from end-of-day.

Position's History
07/22 MNX Iron Butterfly
7/21 MNX Iron Butterfly
07/20 MNX Iron Butterfly
07/17 MNX Iron Butterfly
07/16 MNX Iron Butterfly *New*

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