Sold 2x Oct VIX 17 puts for 1.40 average. Am now in the 14/17/20 put fly and the 20/25/30 call fly from .60 all-in.
Long the Oct VIX 13/14/15 call fly from .15. Just adding a little bit of downside protection in case the VIX collapses before expiration.
Long the SPX Oct4 1680/1690/1700 call fly from 3.75. Stop 3.00, target EOD, will protect significant profits if they appear.
Out at 3.00. -22% return on risk. I like this trade and was probably just shaken out with other longs but had to honor the stop. Am still synthetically long through VIX puts.
Out of the 20 put for 3.70. Happy with what I have on for the VIX and looking for other opportunities. Nothing special here, but in all over the last several days I was able to put on the October expiry 13/14/15 call fly, 14/17/20 put fly, 20/25/30 call fly, and 14 put from .85. I plan to hold these through expiration. The position has 20 strike pin risk as well as risk if VIX explodes to the upside (both limited to the debit + comms), but has the potential for windfall profit also. This is the first time that I have tried legging into flies like this and, though my execution could have been better, I think there is a lot of potential for a strategy like this in a volatile, rangebound environment.
Another obvious lesson re-learned today. I should have waited for a pullback to enter the fly, rather than putting it on right after the market had marched up a few points. I could have entered it at the stop price and would not have been shaken out. The fly is currently at 7.00, but the lesson is priceless.