07/16 MNX Iron Butterfly *New*

Today I entered this new position, I plan on managing with the same strategy I'm using while backtesting, it includes a few course of actions that I feel are the best way for me to ease into managing iron Butterflies.

I did not cut the delta in 1/2 with the long CALL, I cut 1/3 of the original deltas and decided to leave it a bit more bearish because of the recent price action, I expect some easing off the tops, if I'm wrong I may add a long CALL sooner than expected. Other than that, here is the Iron Butterfly managing plan I intend to use:

1) Do nothing for the first week, unless we get within less than 1 st. deviation from the short strike
2) For adjusting, use one of the following:
a) Add back-mong (SEP/09 )Long CALLS/PUTS to cut Delta
b) Add small (half the original size) Iron Butterfly to add Theta and adjust Delta
c) Use Vertical Debit Spread to roll "Delta Hogs" (Short contracts with delta of 70 or more)
d) Simply close out "Delta Hogs"

07/16 SPY Double Diagonal

As per my Double Diagonal Adjustment plan, when we reached the short strike I rolled 2 contracts and cut the delta in 1/2. My goal when rolling was to do it with the least possible ammount of contracts, to keep the original ones working for as long as possible, should the market retrace, this will be helpful.

Yesterday I spent some time analyzing the best course of action (Close, adjust or do nothing?) and came up with some pretty interesting conclusions, I'll post them in a separate blog entry. I also realized something that I'm making my trading mantra:

"In trading (and in life), no matter what you do, there is always a possible outcome that will prove you wrong. Be not afraid of being wrong."

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

07/15 Daily Summary

Today was rough on my SPY Double Diagonal, I'm less than 1 standard deviation away from my short strike, the odds are not so good. I'm not immediately closing the position, instead I'll close a few contracts and then adjust the remaining. I want to make money, and shutting things down just locks in the loss.


Both Paper Iron Butterflies took a dive to max loss Today. As I explained in their detailed posting, I didn't close the trades in the platform just to see how it behaves, but for all documentation matters they can be considered busted!


Soo, I am now doing a backtesting challenge for the MNX Iron Butterfly, I have to adapt the way I'm adjusting the trade, it is clear to me I over-adjusted the live JUN and JUL positions, and specially clear I over-adjusted the RUT and SPX paper butterflies. So, there you have the commitment is on.


Detailed Postings:
SPY Double Diagonal
MNX Iron Butterfly Backtesting Challenge
RUT Iron Butterfly
SPX Iron Butterfly

07/15 Backtest Challenge

Like I mentioned Yesterday, there is learning to be done with managing the Iron Butterflies, with that in mind, I've been postponing backtesting, but I now must make the commitment. So here it goes: I'll backtest at least one month a day, when time allows I'll do it two months or more per day.

I'm using TOS thinkback for backtesting, while the platform is good, it is soo time consuming!! Let me say that again: TIME CONSUUUMING.. I have to manually add up the delta and theta for every contract/spread in the trade in order to see where I am on a day-to-day basis. On the other hand, I get the experience to see how each individual spread behaves. I'm attaching the backtesting results and will keep them on the blog as part of my commitment.

The results:
JUN/09: +10% ROI
MAY/09: +20% ROI

Here is the JUN/09 Day-by-day:

Here is the MAY/09 day-by-day:

07/15 SPY Double Diagonal

Where is the love?? :) Taking such a large move in the first few days is never pleasant, I had the same experience last month with my 50-Day condor, except the condor bit the dust, the double-diagonal is still in play. I'm less than a standard deviation from the up-side adjustment, and I'll adjust if we get there.

There is one thing here: The Recommendation is to close the position when it hits your short strike within 7 days. For me, I preffer to adjust and stay on the trade, see if the underlying backs off. One way or another, I'm keepign my stop on a 1:1 ration with my expected profits. Not letting my losses run



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

07/15 RUT Iron Butterfly *Stopped*

RUT took a dive just like SPX with this strong market move. I had the option to exit with 20% loss around 10 AM EST Today, like I did for SPX, I left the trade open just to see what it would look like at the end of the day, I want to compare Yesterday's profile with Today's results..

For all considerations, the trade is closed at max loss + some.

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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07/15 SPX Iron Butterfly *Stopped*

Not happy to report the trade bit the dust Today. No way to survive such a strong move in the last week with that much Gamma. That's why the folks at Sheridan Mentoring are strong about beign SUPER careful during the expiration week.

Well, I had the option to exit around 10 AM EST at max loss. It would be my clue to shut down the trade. I left the position open just to see what it will happen to it, but as far as this experience is concerned, the trade is over at max loss + some (commissions and slippage).

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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