07/17 Daily Summary

Nothing major to report, the SPY Double Diagonal got a bit of P&L improvement and the MNX Iron Butterfly is just about the same level it was Yesterday. Going through the weekend to collect the first wave of time decay.

I backtested the APR/09 MNX Iron Butterfly, that was a difficult month and very likely to be stopped out on a live trade.

Position's Details:
07/17 MNX Iron Butterfly
07/17 SPY Double Diagonal
07/17 MNX Iron Butterfly Backtesting

07/17 MNX Iron Butterfly

Second day into the trade, nothing major to report either. Remember I started a bit more bearish than usual, due to this strong up-move in the expiration week. If we keep pushing higher, I expect volatility to drop and this will help the position along.



Position's History
07/16 MNX Iron Butterfly *New*

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07/17 SPY Double Diagonal

Nothing to report Today, things seem to be under control, P&L improved a bit, we have a long way to go before it is back in profits. Patience.



Position's History:
07/16 SPY Double Diagonal
07/15 SPY Double Diagonal
07/14 SPY Double Diagonal
07/13 SPY Double Diagonal *New*

07/17 MNX Iron Butterfly Backtesting

This is so far the worst scenario I've come accross for 2009. The trade would have hit max loss by the #5 bellow. If one had a wider stop, one could have taken the ride all the way to expiration and come out of the mess with a small loss.

Also, for consistency reason, I'm only adding a baby butterfly once, it is very likely that adding a second butterfly would have taken care of the trade and possibly avoided max loss. I can re-test it again later on, but for now, that's the result:

APR/09: -20% ROI (Max Loss)
Previous Postings
07/16 MNX Iron Butterfly Backtesting
07/15 Backtest Challenge

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