APR NDX Iron Butterfly Day-by-day review

I took an unnecessary loss for my APR position, at some point in the month trading cycle I have lost track of what I was doing, with too many trades and not enough time to focus on anything. I left the Iron Butterfly “float” around the up-side zone without properly increasing its theta when needed. The result is I didn’t capture theta and ended up taking a loss when the market moved up in the last few days of the trade.

Trade 1: From 3/15/2010 to 4/14/2010 -12.33% ROI

Day by day:

03/15 NDX Iron Butterfly

03/16 NDX Iron Butterfly

03/17 NDX Iron Butterfly

03/18 NDX Iron Butterfly

03/19 NDX Iron Butterfly

03/22 NDX Iron Butterfly

03/23 NDX Iron Butterfly

03/24 NDX Iron Butterfly

03/24 NDX Iron Butterfly

03/26 NDX Iron Butterfly

03/29 NDX Iron Butterfly

03/30 NDX Iron Butterfly

04/01 NDX Iron Butterfly

04/05 NDX Iron Butterfly

04/06 NDX Iron Butterfly

04/07 NDX Iron Butterfly

04/08 NDX Iron Butterfly

04/09 NDX Iron Butterfly

04/12 NDX Iron Butterfly

04/13 NDX Iron Butterfly

04/14 NDX Iron Butterfly

MAY NDX Iron Butterfly Day-by-day review

After mis-managing APR, I did a great job staying on top of my position in MAY, and it served me very well indeed! We went from a low volatility to a very high volatility environment during the trading cycle. We saw some crazy days, a lot of whipsaw action. In the end I was happy, I mean EXTREMELLY happy to get out of there with some money in my pocket :)

Trade 1: From 4/21/2010 to 5/11/2010 +1.74% ROI

Day by day:

04/21 NDX Iron Butterfly

04/22 NDX Iron Butterfly

04/23 NDX Iron Butterfly

04/26 NDX Iron Butterfly

04/27 NDX Iron Butterfly

04/28 NDX Iron Butterfly

04/29 NDX Iron Butterfly

04/30 NDX Iron Butterfly

05/03 NDX Iron Butterfly

05/04 NDX Iron Butterfly

05/05 NDX Iron Butterfly

05/06 NDX Iron Butterfly

05/07 NDX Iron Butterfly

05/21 Daily Summary

Being fully aware we’re still in the midst of the storm, I’ve initiated my JUN position Today. My key assumption and expectation is that things are about to settle down and when the dust settles I want to get out of there with the profit target. I decided against sitting out this month simply because it has been my experience that for these type of strategies you can’t really know when they’ll work and when they won’t.. You just have to trade consistently and manage whatever comes your way. So, let’s get ready for the JUN ride. May it be a good one :)

05/21 NDX Iron Butterfly – JUN/10

Started the position Today, instead of using the regular extra long, I’ve opted for having one of my contracts set up as a broken-wing butterfly, moving the long call closer to the short call, therefore getting the extra positive delta but with a bit more theta than I would have if I had with the extra long call. Will post further details on adjustment and trade plan over the weekend.

5/19 Daily Summary

I'm glad the order I had Yesterday didn't fill. I was pushing for a fill at a higher price to compensate for the risk of having an order without knowing where the NDX would be trading at. As I write this we are moving about 40 points down and the volatility is going higher. I will then wait for end of day to jump in.

Cheers!
Gustavo

5/19 Daily Summary

Sorry, can't post my daily summary chart Today. I'm in Munich and on my way back to San Francisco, just wanted to get re-started on the blog. Looking to add my JUN position either Today or Tomorrow. I have floated an order to enter the trade once the market opens Today, if it gets filled great, otherwise I'll have the position early morning Tomorrow. So far looking at the 1875/1800 puts & 1925/2000 calls, keeping an eye on the donw-side once again this month. I won't add the extra call unless it triggers at 1910 (actually, first it needs to trigger the butterfly order, then the contingent).

Cheers!
Gustavo

05/13 Daily Summary

Still a very choppy market environment, a 1 day standard deviation looks like nothing these days.. On the bright side, the 5 day vol spike chart may be showing some sort of consolidation is starting. That’s what I’m hoping for, as we enter the “hunting” season for JUN contracts.. I will be traveling to Europe next week, so may not be able to post for a few days. Plan on starting a position from there though, likely to enter on Tuesday. Cheers! I closed my accounting for MAY, ended up making a very thin profit, that was AWESOME considering such a wild ride!