05/25 NDX Iron Butterfly – JUN/10

Ok, as we gapped down this morning I was observing the NDX and its price action, it got to about 4 points from my lower adjustment (1950), then started to bounce from there. Rather than touching the position early in the morning I’ve decided to let it ride for the extra day... As it turned out, this as a good choice as we traded to just about the same level as we closed Yesterday. With the additional Volatility crush I got to 10% on my trade and dashed for the exit! :)
Not bad, get in Friday morning, ride through the weekend, cash out 10% by Tuesday (3 days in the market) I am very grateful I got in the position this month!

05/24 NDX Iron Butterfly – JUN/10

Today is my Birthday and I think the market actually handed me a gift! Let’s call it the volatility gift! The position is around 7% profit after just one day of trade! I love it, and as a matter of fact, depending on how it looks Tomorrow I might tighten it up a bit to reduce my overall exposure to delta and vega. Normally I wouldn’t touch it, but given the recent market condition I think it is worth taking a conservative approach with gains.

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