Wednesday, July 1, 2009

07/01 Daily Summary

Today was a great day! I got out of my MNX Iron Butterfly with a bit over 10% ROI and got a decent recovery on my SPX Iron Butterfly. The RUT position took a bigger than anticipated hit because of my contingent order to perform a butterfly roll. I made comments on the trade's page as to how to avoid such situation in the future.

One thing important to notice: P&L during the intra-day was all over the map once again! I had both my Iron Butterfly positions showing me being down by over 6%, when I new, from Yesterday's risk profile chart that this would not be very likely. I was supposed to be near B/E on SPX and not down by that much on RUT. Well, by the end of the day the P&L "shrinked" back to the expected levels. This happened to me before and having the previous day's profile in the blog is helping me by a LOT!

Position's details:
07/01 SPX Iron Butterfly
07/01 RUT Iron Butterfly
07/01 MNX Iron Butterfly *Closed*

07/01 SPX Iron Butterfly

SPX Moved higher intra-day but backed off at the end of the day. The position had no automatic adjustment. At the end of the day I did a butterfly roll to get rid of the last short 895 CALL. This adjustment broght a lot more theta into play and eliminated some delta.

Looking forward to a recovery, let's see if SPX stays quiet for a few days going into the weekend.
Position's history day-by-day:

07/01 RUT Iron Butterfly

I realized I made a mistake on this trade Today: The contingent order to do a butterfly Roll.

Let's talk about that, usually a contingent order is automatic and you end up paying more than the MID to get an execution. Therefore, the more complex your spread, the more you end up paying. In my mind, a much better approach would be buying a long CALL to hedge the deltas during the intra-day price action, and then, at the end of the day, execute the butterfly roll. Once the roll was finished, it would be just a matter of selling the long call previously purchased.

Because I executed the roll with a contingent order, ended up paying more than I wanted, and my P&L took a hit. The only way to know this for sure is because I keep a detailed accounting spreadsheet. Once I remove the butterfly roll from my accounting, my P&L goes up to 3%. In a larger trade this could mean a lot of money.


Position's history day-by-day:
06/30 RUT Iron Butterfly
06/29 RUT Iron Butterfly
06/25 RUT Iron Butterfly
06/24 RUT Iron Butterfly
06/23 RUT Iron Butterfly

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07/01 MNX Iron Butterfly *Closed*

I closed the trade Today, the position gave a bit over 10% ROI in 10 days as of Yesterday, so Today was just a continuation of my exiting track. Not much to say, except that I'll do it again next month, looking forward to it.

Position's history day-by-day
06/30 MNX Iron Butterfly
06/29 MNX Iron Butterfly
06/26 MNX Iron Butterfly
06/25 MNX Iron Butterfly
06/24 MNX Iron Butterfly
06/23 MNX Iron Butterfly
06/22 SPX Iron Butterfly
06/19 MNX Iron Butterfly
06/18 MNX Iron Butterfly
06/17 MNX Iron Butterfly
06/16 MNX Iron Butterfly *New*

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