03/11 NDX Fast Butterfly (from 03/08)

This is a great example on how the hedge-recover strategy can help soften the damage of the trades that do not work. This butterfly would be stopped out under my original idea (-8% ROI), however, because I hedged the trade it is now showing me -4% ROI. Once again, the recovery butterfly is not yet helping, as the hedged+recovery position is down -4.5%.

03/11 NDX Fast Butterfly (from 03/01)

If you have been following this weekly butterfly strategy, I made a tweak last week with adding a hedge-recover process instead of a flat stop loss at the -8% level. This has kept me in the game on last week’s butterfly. I have to exit the position Tomorrow and record the findings.
One of the things that called my attention is the fact that the recovery butterfly didn’t help much this time around, look at both my charts, if I had just hedged the trade, it would be in the green by now. My recovery butterfly is actually damaging the position. I will have to back-test it once again and look at what is the difference if I’d simply hedged the trade instead of adding the extra capital for the recovery. This could be an exception and I don’t want to adjust my trading strategy based on one month, specially because NDX is moving higher and the vols are staying relatively high and Yesterday it actually moved higher as well.

03/11 OEX Weekly Iron Condor

OEX moved higher once again. This is the second week it comes down to Friday, hopefully we won’t have a repeat of last week’s Friday, when we pushed over 1 st. Deviation higher. We’ll see Tomorrow for sure.

03/10 Daily Summary

So much for the people who have been saying the market is overbought.. :) I never really bother to use these oscillators, all I know is that NDX broke out of the range in a bullish pattern, OEX is not following suit though, so this might not be a wide-market bull run, at least not yet.. I’ve hedged my NDX butterfly and added the call butterfly to bring theta. Still working on my butterfly from last week, I’m starting to wonder what would be the best way to exit the butterflies without having to pay an arm and a leg to get filled.
Question for readers: If you trade butterflies, what has been your experience getting out of the position (aka selling them)?

03/10 NDX Fast Butterfly (from 03/08)

Up-side movement Today hit my hedge contingent order, as it turns out this kept the position under control until end of day, when I added the call butterfly to bring on theta and work on a recovery.

03/10 NDX Fast Butterfly (from 03/01)

No major change from Yesterday. One thing I have been noticing on these butterflies is that the P/L is all over the map during the intra-day price action, I’ve seen going from -10% to -15% in just a few clicks without any major price swings.. I think the spreads are really wide and that causes the oscilation. What I’ve been doing to gauge my progress is to look at the Greeks and try to get a feeling. I knew from Yesterday my biggest exposure was vega, but looking at Today’s vix you’ll notice that it actually increased despite of the up-day. So I didn’t get out of the trade when it was showing me down by 15% (stop level)..
This puts a little bug in my ear: how am I going to exit these butterflies if their spread is so wide? How much will I have to give up in order to get a decent fill? Well, I’ve been dwelling on this, and as a matter of fact will start next week as an Iron Butterfly instead of a direct call/put butterfy, at least with the iron butterfly (calls & puts) I know I can use strangles to remove my short call&put contracts without major delta exposure..

03/10 OEX Weekly Iron Condor

OEX moved a bit higher Today, still in good shape as far as probabilities are concerned. As far as I am concerned a pull back here would be awesome ;)