I ran a journal here in 2019: https://www.elitetrader.com/et/threads/global-options-trades.330518/ The first post there provides some background. In the intervening time, I have continued to read, learn, analyse, backtest, etc and have moved from single long directional positions, through credit and debit spreads, alighting most recently on using butterflies. One major source of help was @destriero - for which, many thanks - but I have struggled to find a significant edge predicting movement in volatility, or to adjust positions with consistent profitability. The butterfly structure does seem to work well for my directional views though. I've been following Caroy's Weekly Pin Butterfly Strategy journal with great interest, and although using different methodology, we have taken a similar path in terms of pitfalls and successes. Thanks to @caroy for the insight and inspiration. I'm continuing to trade options on a range of indices, fx, and oil, but have also recently incorporated some single name stocks. Timeframes have come down from trade durations of several weeks to between 2 and 20 DTE at opening. I place a range of closing orders, and occasionally, these have filled during the same day. I haven't attempted to trade intraday. The last 50 trades have produced 39% gross profit (ignoring commission) on VaR (opening spread in the case of symmetrical butterflies). Average duration has been 5.9 days. I'll try to pop trades on here on the day that they are opened, and then when closed, and would welcome constructive thoughts, ideas and criticism.
Trade date: 15 July 2021 Security: FTSE Direction: Put Expiry date: 30 July 2021 Strikes: 6875 / 6950 / 7025 Structure: 1 / 2 / 1 Opening Spread: 8.67 Trade date: 26 July 2021 Security: GBP Direction: Call Expiry date: 30 July 2021 Strikes: 1.3725 / 1.38 / 1.3875 Structure: 1 / 2 / 1 Opening Spread: 0.0021 Trade date: 26 July 2021 Security: RUT Direction: Put Expiry date: 30 July 2021 Strikes: 2155 / 2185 / 2215 Structure: 1 / 2 / 1 Opening Spread: 4.55 Trade date: 27 July 2021 Security: DAX Direction: Put Expiry date: 30 July 2021 Strikes: 15300 / 15400 / 15500 Structure: 1 / 2 / 1 Opening Spread: 9.00 Was distracted for a few hours but these were trades open this morning for expiry today. I'll add open positions expiring next week on Sunday.
Good thread..Would you add the last price to make things a bit easier.. I only trade structures similar to you if I believe I get skew edge/skew Delta.( sticky delta) Is your approach strictly directional??
Closing positions for Friday expiry: Trade date: 15 July 2021 Security: FTSE Price at opening: 7090 Direction: Put Expiry date: 30 July 2021 Strikes: 6875 / 6950 / 7025 Structure: 1 / 2 / 1 Opening Spread: 8.67 Close date: 30 July 2021 Trade duration: 15 Closing spread: 9.67 Profit / (Loss) 1.00 Profit / (Loss) 11.5% Trade date: 26 July 2021 Security: GBP Price at opening: 1.3765 Direction: Call Expiry date: 30 July 2021 Strikes: 1.3725 / 1.38 / 1.3875 Structure: 1 / 2 / 1 Opening Spread: 0.0021 Close date: 28 July 2021 Trade duration: 2 Closing spread: 0.0000 Profit / (Loss) -0.0021 Profit / (Loss) -100.0% Trade date: 26 July 2021 Security: RUT Price at opening: 2214 Direction: Put Expiry date: 30 July 2021 Strikes: 2155 / 2185 / 2215 Structure: 1 / 2 / 1 Opening Spread: 4.55 Close date: 30 July 2021 Trade duration: 4 Closing spread: 0.00 Profit / (Loss) -4.55 Profit / (Loss) -100.0% Trade date: 27 July 2021 Security: DAX Price at opening: 15522 Direction: Put Expiry date: 30 July 2021 Strikes: 15300 / 15400 / 15500 Structure: 1 / 2 / 1 Opening Spread: 9.00 Close date: 30 July 2021 Trade duration: 3 Closing spread: 19.40 Profit / (Loss) 10.40 Profit / (Loss) 115.6% Not a great start to the journal, with 1 expiring OtM, GBP assigned ItM for 100% loss, FTSE closing at a small profit, and DAX doing well, but not well enough to cover losses on the other positions this week.
Thanks for the comment @taowave Good point; I've added price at opening and will do so for future trades. Rationale is directional, but there is a bit of filtration to determine which signals I trade. Skew has to be favourable, which eliminates a lot of long trades. I then run BS through a MonteCarlo simulation to determine a reasonable expected outcome.
Current open trades are bearish: Trade date: 19 July 2021 Security: SPX Price at opening: 4243 Direction: Put Expiry date: 06 August 2021 Strikes: 4080 / 4160 / 4240 Structure: 1 / 2 / 1 Opening Spread: 7.50 Trade date: 19 July 2021 Security: SPX Price at opening: 4243 Direction: Put Expiry date: 09 August 2021 Strikes: 4080 / 4160 / 4240 Structure: 1 / 2 / 1 Opening Spread: 7.25 Trade date: 19 July 2021 Security: DAX Price at opening: 15220 Direction: Put Expiry date: 06 August 2021 Strikes: 14650 / 15000 / 15350 Structure: 1 / 2 / 1 Opening Spread: 56.00 Trade date: 19 July 2021 Security: DAX Price at opening: 15220 Direction: Put Expiry date: 13 August 2021 Strikes: 14650 / 15000 / 15350 Structure: 1 / 2 / 1 Opening Spread: 45.40 Trade date: 26 July 2021 Security: RUT Price at opening: 2214 Direction: Put Expiry date: 19 August 2021 Strikes: 2050 / 2100 / 2150 Structure: 1 / 2 / 1 Opening Spread: 3.90