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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06/29 Daily Summary

Nothing major happened Today, SPX made new highs, but it wasn't followed by RUT or MNX, trading was range-bound for most of the afternoon.

I had an automatic adjustment on the SPX Iron Butterfly but the adjustment wasn't enought and I ended up the day more delta negative than I wanted. Also, by the end of the day I cut a few deltas on the MNX Iron Butterfly to keep it in line with the theta.

For tomorrow, should we keep moving up, I will execute some butterfly rolls to move my short CALL contracts on both the RUT and SPX Iron Butterflies. The MNX iron butterfly is not quite at a point where I need to move the short CALLs, so if we move up on MNX I'll add long AUG CALLS to bring the delta back down in 1/2.

New positions this week:
I'm thinking about adding a 50-day Iron Condor for Aug/09 Contracts, I might do it on the small side. This should probably be something I do on Wednesday (if I decide to do it)

Here is a summary of each open position:
06/29 RUT Iron Butterfly
06/29 SPX Iron Butterfly
06/29 MNX Iron Butterfly

06/29 RUT Iron Butterfly

There was no change in P&L Today, at these levels, I was expecting the trade to be slightly profitable based on last Friday's estimations. However, the difference is so small that it doesn't botter me as much as the SPX discrepancy.

I have orders to execute butterfly rolls on the short CALLs if we move above 515 and 520. The reason to move these short CALL contracts is that they have very little time-value on them, and they are hogging the deltas.

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

06/29 SPX Iron Butterfly

Something weird keeps on happening on this trade. The risk profile is not accurate, could it be a function of the SPX's wide spreads? Thoughts? Anyone? I hedged (or thought so) the position around noon Today, and when I looked back at it after it closed, the deltas were big once again. I have orders to execute butterfly rolls to move my Short CALLs if we move higher Tomorrow.

The P&L took a drop Today, if you look at the risk profile from last Friday (see link at the bottom), it was estimating the trade to be profitable at these levels.. I'm certain I don't want this type of scenarion in a live trade, so I'm staying away from SPX on live iron butterfly positions.

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