09/14 SEP RUT Iron Butterfly (day-by-day review)

This was my first RUT Iron Butterfly, I traded it without any previous frame of reference other than my experience with the MNX iron butterflies. I think I did ok! Of course, the profits ran away from me in the last week, but this is only a matter of adjusting things around, fixing a few items in my strategy. I am doing the homework this time, by performing at least one backtest per day for the RUT iron butterfly trade, I like the way it goes and I noticed there are some big differences between the RUT and MNX.

Mistakes I believe I made:
1) Waited 3 days before adding theta to the trade, including a weekend see 08/21
2) Intra-day adjustment when prices were out of wack. Got hit by quite a bit on 09/09 when I did a vertical roll during worst possible time, it also hit me emotionally and I gave up on the trade.

Things I did right:
1) Kept good control over greeks
2) Made money :)

Things to keep in mind for next trade:
1) Will not make decisions on-the-fly because of intra-day price action, always have 2 or 3 levels of contingent orders in place
2) Use long back-month CALLs or PUTs to control trade with contingent orders, perform a vertical rolls after things settle down (around closing time or the next day)
3) Manage last few days of trade differently: start moving In the Money calls or put sooner, cut gamma risk down
3) Open new butterfly to increase theta faster

Here is the trade on a day by day review:

08/18 RUT Iron Butterfly - Started the trade, used a shorter wingspan than what Dan Harvey recommends (after Dan Sheridan's advice), don't think this was a big deal

08/19 RUT Iron Butterfly - Smooth sailing

08/20 RUT Iron Butterfly - RUT edging higher, contingent orders in place

08/21 RUT Iron Butterfly - RUT at expiration break-even, decided not to open a new butterfly (-10 Theta)

08/24 RUT Iron Butterfly - RUT didn't back off, going another day without adding a butterfly (-5 theta)

08/25 RUT Iron Butterfly - Added to the position

08/26 RUT Iron Butterfly - Started to consider rolling the short 560 calls

08/27 RUT Iron Butterfly - Added a long Call, then realized that rolling the 560 would be a better idea

08/28 RUT Iron Butterfly - Decided not to roll the 560 calls

08/31 RUT Iron Butterfly - RUT backed off, keeping the 560s paid off, noticed gamma increasing

09/01 RUT Iron Butterfly - RUT moved down, P&L drop was steep, rolled the short 590 PUT down

09/02 RUT Iron Butterfly - Not much change

09/03 RUT Iron Butterfly - Butterfly roll to move the 590Puts down, theta is huge

09/04 RUT Iron Butterfly - Got to about 17% ROI, Gamma is high, I have 3 short 560 Calls (they're ITM)

09/08 RUT Iron Butterfly - Rolled 560 to 580s, still up 15% ROI

09/09 RUT Iron Butterfly - Over paid for a vertical roll, intra-day manual adjustment

09/10 Daily Summary - Started exiting the trade, not much Profits left, short 580s cost me money as RUT moved a little bit higher, they're ITM

09/11 RUT Iron Butterfly - SEP - Out for 0.5% ROI