06/30 Daily Summary

Today was a great day, we had a down-day and the being slightly delta-negative paid off on all my Iron Butterflies.

For the MNX Iron Butterfly we have reached the 12% ROI mark, and I'm working my way out of the trade. Note one have to be smart about this, taking too many spreads out of the table can expose you to unwanted delta risk

For both the RUT and SPX, we're back at B/E and still some time to go. I imagine RUT and SPX will be positions that I'll have to hold until the very final days of expiration, let's see how it goes.


Detailed positions:
06/30 RUT Iron Butterfly
06/30 SPX Iron Butterfly
06/30 MNX Iron Butterfly

06/30 RUT Iron Butterfly

I did a butterfly roll at the closing hour on the RUT position, once again, it flattened my deltas and brought a lot of theta back into the picture. The butterfly roll closed my short 490 CALL and sold 2x510 CALLs.

The trade is back at B/E, now let's see how it behaves Tomorrow. My theta:delta ratio is 12:1, so there is a good chance it will be more profitable Tomorrow. Bellow are my adjustment points.

Position's history day-by-day:

06/29 RUT Iron Butterfly

06/25 RUT Iron Butterfly

06/24 RUT Iron Butterfly

06/23 RUT Iron Butterfly

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06/30 SPX Iron Butterfly

SPX hit 930 early in the day and executed my butterfly roll. I moved one of the Short 895 CALLS and rolled into the 930 CALLs, it gave me flat deltas and a lot more theta to work with. In reality, I would have done this adjustment at Yesterday's close, but I was too focused on the live trade and didn't pay attention to SPX in the final hour.

With Today's price movement, I have 24:1 theta:delta ratio, so Tomorrow will be more profitable than Today, unless we have a huge price movement. Bellow are my next adjustment points.

Position's history day-by-day:
06/29 SPX Iron Butterfly
06/25 SPX Iron Butterfly
06/24 SPX Iron Butterfly
06/23 SPX Iron Butterfly
06/22 SPX Iron Butterfly

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06/30 MNX Iron Butterfly

I started peeling off spreads on the trade. At the end of day Today it was up around 12% ROI, however, one needs to be very careful when taking this type of trade "off the table". This position is hedged in many ways, so, when you take one spread off, you need to make sure it won't mess up the delta on the position.

I've seen one of Dan Harvey's mentoring video, where the student gave up his entire profits by not being careful when exiting the trade. He got caught up in a price swing and ended up dancing in the wrong side of the market (buying tops, selling bottons sort of speak)

Case in point: Taking one iron butterfly right now will immediately leave me with 35 deltas, so I need to also sell the long CALL contracts to balance this delta back to neutral. Doing so during wide market swings may cause you do lose money in a flash. Because MNX was swinging wildly in the final minuts, I was extra careful not to go in and start carving out spreads. In the end, I took only one iron butterfly off, it left me with flat deltas. I plan on continuing to exit the next few days.

Position's history day-by-day
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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