This is way beyond my pay grade. I am still on the ground floor doing simple 121. For me, to first order, profit comes from guessing correctly where the belly of the fly will be. Everything else are second order. So far, the results are encouraging, of the 12, I had 2 losers. The 5 new flies are all showing a profit so far. I want to thank all of you who contributed your ideas to this thread. Lots of wonderful ideas. I have a lot of works to do.
I want to get excited about the fly I just cannot understand why everyone has such a boner about them. They seem very appealing on a risk reward but outside of that not sure.
Most of my flies have been very directional and I’m quick to mange non-performers, especially if theta turns negative. Basically my flies are a cheap or even “Subsidized” theta version of a call or put where I hope price reaches the body a day or two before expiration. I am looking at making my trades a little less directional and am considering structuring iron condors such that the breakeven price of the IC at expiration is roughly equal to the current price of the underlying when placing the order. The purpose for this would be more for easy statistical analysis comparing trade types than anything else. In essence, I want to measure the relative performance between trading the underlying and trading the IC according to my trading style. Thank you for relaying your experience to us. In time, I may very well become almost “Direction neutral”.
The structure was 2-3-1, with the wings equidistant from the body, thus allowing a payoff no matter how far ES might fall.
Thank you for the kind words. While Destriero’s posts can be hard to decipher, there’s “Gold in them there hills”, making the effort thinking about his posts worthwhile.
Why the distinction between directional vs neutral??? Neutral is a direction ... Or why not go with neutral if that is where the edge is and simply adjust your Delta with "Shtock", cheap verts or whatever floats your boat??