I thought that might be the case. Have you looked at trying to string them together through the life of a trade?
Nice video, Joao. The only thing I don't quite agree with is looking at premium as the primary guide for shorting. I've learned the hard way that inflated premium is a harbinger of a big move. One shorts it at one's own peril. Of course, the double BWB is pretty safe in the event of a big move, as theta strategies go. It's one of my favorite plays. I just put one on today in SPY, come to think of it. Wish me luck. The difficulty for me has been in getting a good size credit, as the market is most likely to stay within the two short strikes. If we get a good move at expiry, we are rewarded for it, rather than penalized as in the normal butterfly (although I haven't seen a big move occur since beginning to do these), and hopefully sufficient time has elapsed preceding a really big move where we run the risk of losing, thus allowing for adjustment without taking losses. Overall, it seems as close to ideal in many ways as anything else I've looked at.
I haven't tried doing that, but in view of the posts by you and MushinSeeker, who suggested the same concept, I am going to try it out on paper. I imagine it's a whole art in itself to leg into a portfolio of butterflies to create an optimal position. As Maverick74 was pointing out earlier, such byzantine positions can quickly spiral out of control, but done with appropriate restraint, I imagine there's some potential. Would you indulge us with some specifics of how you've played this strategy, if you've had occasion to put on flies in this way?
I don't want my comments to seem as if there is any mystery in all this. My suggestion was to compare what you've considered with an alternative. I'm suggesting you simply adhere to the principle of shorting centrally and buying laterally. For instance, if you start with an ATM fly, as the underlying moves, you pick a point at which you admit your initial assumption was incorrect and then move the short option, which will have moved ITM, more centrally. You do this by buying a fly on the relevant side. Your overall inventory is now better positioned with your market view, centered around the underlying. There are some other subtleties, but this type of adjustment is what I would mean as "stringing them together." You can't put on an initial position with flys or calendars "linked" together and arrive at the same p/l.