07/14 RUT Iron Butterfly

The position is profitable Today, very small profits. If this was a real trade, I'd be tempted to take some of the spreads off the table, See how Gamma is pretty big.

I have started to simplify and reduce the inventory by removing long puts and extra calls I had in place and are no longer adding theta to the position.



Position's history day-by-day:
07/14 RUT Iron Butterfly
07/13 RUT Iron Butterfly
07/09 Daily Update
07/08 Daily Update
07/07 RUT Iron Butterfly
07/03 RUT Iron Butterfly
07/02 RUT Iron Butterfly
07/01 RUT Iron Butterfly
06/30 RUT Iron Butterfly
06/29 RUT Iron Butterfly
06/25 RUT Iron Butterfly
06/24 RUT Iron Butterfly
06/23 RUT Iron Butterfly

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07/14 SPX Iron Butterfly

I have started to simplify the position, getting rid of the excess inventory, flattened myself out and did whatever I could to increase theta as much as possible. At this point, all it needs is one more range-bound day. In retrospect, I certainly over-traded this position, I'm going to run a few more simulated trades and stay with a smaller size for AUG.

We're back at B/E on its way to profitability. Staying in the trade through Expiration week is not the most optimum thing to do because of the Gamma exposure, so far the gamma has not yet exploded, let's see how it goes Tomorrow

Position's history day-by-day:
07/14 SPX Iron Butterfly
07/13 SPX Iron Butterfly
07/09 Daily Update
07/08 Daily Update
07/07 SPX Iron Butterfly
07/02 SPX Iron Butterfly
07/01 SPX Iron Butterfly
06/30 SPX Iron Butterfly
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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07/13 Daily Summary

Today I started entering my AUG/09 trades, I posted earlier in the day what is my plan and how I'll allocate the trading capital. I started with a SPY Double Diagonal, plan on entering the trade in two stages. I might also enter the RUT 30-Day condor this week (two stages as well).

All and all, my biggest surprise for the day were my two paper Iron Butterflies. I didn't check one vital component of the greeks and got crushed Today. See the postings for more details.

Live Positions:
SPY Double Diagonal (Live)
AUG/09 Trading Plan

Paper:
SPX Iron Butterfly
RUT Iron Butterfly

07/13 RUT Iron Butterfly

One more day in paradise.. See the SPX posting as well.

I didn't check my Vega exposure last Friday, and Today it hit me like a brick (in the face). I was running around happly expecting these two iron butterflies to cash in Today, but got surprised by how much Vega risk I left last Friday, with Today's movement it just nailed the positions..

Let's see if they can still make it trough, I flattened it once again.

07/13 SPX Iron Butterfly

WOW!! In all of Friday's excitement, I forgot to check one KEY issue with my position as of last Friday.. Take a look at its Last Friday's profile, and see if you can tell for yourself what it is..

.. I'll give it some time to further explain it later. Today, I was shocked to see the position losing money when SPX moved up, at first I thought it was the normal P&L oscilation, but then I double-checked my records and realized I had missed this one key item, and it hit me right on the head Today...

See the Vega in last Friday's chart, with Today's up movement being long that many vega just crushed the trade. VIX dropped over 9% Today, and along went my paper profits.. I left the trade on, let's see what Tomorrow brings. Today I was careful to double-check the greeks, they all seem to be in check, let's see..

07/13 SPY Double Diagonal *New*

Started this new position Today, my goal is to get 13% ROI, the stop loss is around -19%. My adjustment strategy is to cut the delta by using a debit spread to move the short contracts up or down, if needed, I can also roll the opposite side as well to increase theta.

I'm entering the position in two stages, one Today and another one Tomorrow, my preferred approach would be to enter the first half last Wednesday, but I was having Internet issues and decided to enter this week.

As you can see from the VIPES spreadsheet bellow, the SPY have been moving around a bit lately, this is a sign to approach with caution, that's why the two-step entry.

07/12 AUG/09 Trading Plan

We're in Mid July and it is time to look ahead and start executing the AUG/09 Trades. I have decided to stop trading the 50-Day Iron Condors, mainly because they take a lot of time to mature and I like to have adjustment options if things get hairy, thus far I have not been able to really protect myself on these Iron Condors, so I'll be keeping them on the bench.

So, I'm left with Double Diagonals, 30-Day Iron Condor, Iron Butterfly and Calendars. This month I want to start trading the IBM double/triple Calendar as explained by Himanshu, one of Dan Sheridan's students. Here is my capital allocation plan and time-line.