I prefer the risk/reward ratio for the flies, but if you would like to backtest some of my trades as verticals for comparison it might be a useful exercise for us both.
The Russell2000 put fly closed today in profit. Following Russia's invasion of Ukraine yesterday, markets were widely expected to fall. I was only able to move one order out before all other orders filled on opening. Trade date: 18 February 2022 Security: RUT Price at opening: 2009 Direction: Put Expiry date: 22 February 2022 Strikes: 1945 / 1965 / 2005 Structure: 2 / 3 / 1 Opening Spread: 4.77 Close date: 22 February 2022 Trade duration: 4 Closing spread: 6.74 Profit / (Loss): 1.97 Profit / (Loss): 41.2% I opened more put flies for expiry on Friday. Trade date: 22 February 2022 Security: RUT Price at opening: 1997 Direction: Put Expiry date: 25 February 2022 Strikes: 1920 / 1945 / 1995 Structure: 2 / 3 / 1 Opening Spread: 7.13 Trade date: 22 February 2022 Security: NQ Price at opening: 13974 Direction: Put Expiry date: 25 February 2022 Strikes: 13430 / 13610 / 13970 Structure: 2 / 3 / 1 Opening Spread: 57.25
Both trades from yesterday closed today in profit. Trade date: 22 February 2022 Security: RUT Price at opening: 1997 Direction: Put Expiry date: 25 February 2022 Strikes: 1920 / 1945 / 1995 Structure: 2 / 3 / 1 Opening Spread: 7.13 Close date: 23 February 2022 Trade duration: 1 Closing spread: 8.90 Profit / (Loss): 1.77 Profit / (Loss): 24.8% Trade date: 22 February 2022 Security: NQ Price at opening: 13974 Direction: Put Expiry date: 25 February 2022 Strikes: 13430 / 13610 / 13970 Structure: 2 / 3 / 1 Opening Spread: 57.25 Close date: 23 February 2022 Trade duration: 1 Closing spread: 70.25 Profit / (Loss): 13.00 Profit / (Loss): 22.7% Opened a position in S&P500 for expiry on Friday. Trade date: 23 February 2022 Security: SPX Price at opening: 4279 Direction: Put Expiry date: 25 February 2022 Strikes: 4170 / 4205 / 4275 Structure: 2 / 3 / 1 Opening Spread: 9.30
Closing orders for the SPX trade filled yesterday, closing in profit same day. Trade date: 23 February 2022 Security: SPX Price at opening: 4279 Direction: Put Expiry date: 25 February 2022 Strikes: 4170 / 4205 / 4275 Structure: 2 / 3 / 1 Opening Spread: 9.30 Close date: 23 February 2022 Trade duration: 0 Closing spread: 11.07 Profit / (Loss): 1.77 Profit / (Loss): 19.0%
Opened another put fly on S&P yesterday, before the index rose strongly. This feels like it could be the one to break the pattern of 22 consecutive winning trades. Trade date: 24 February 2022 Security: SPX Price at opening: 4279 Direction: Put Expiry date: 28 February 2022 Strikes: 4170 / 4205 / 4275 Structure: 2 / 3 / 1 Opening Spread: 9.30
Trade date: 24 February 2022 Security: SPX Price at opening: 4169 Direction: Put Expiry date: 28 February 2022 Strikes: 4020 / 4070 / 4170 Structure: 2 / 3 / 1 Opening Spread: 13.80 Close date: 28 February 2022 Trade duration: 4 Closing spread: - Profit / (Loss): -13.80 Profit / (Loss): -100.0% ...It did! nb there was a typo in #175. This one is correct. The loss was slightly cushioned by the next fly, opened yesterday but also closed. Trade date: 28 February 2022 Security: SPX Price at opening: 4358 Direction: Put Expiry date: 02 March 2022 Strikes: 4235 / 4280 / 4370 Structure: 2 / 3 / 1 Opening Spread: 12.60 Close date: 28 February 2022 Trade duration: 0 Closing spread: 15.83 Profit / (Loss): 3.23 Profit / (Loss): 25.6%
Was away for second half of last week and didn't get a chance to put the opening trades on here, but they closed on Friday in profit. Trade date: 02 March 2022 Security: ES Price at opening: 4328 Direction: Put Expiry date: 07 March 2022 Strikes: 4170 / 4225 / 4335 Structure: 2 / 3 / 1 Opening Spread: 14.00 Close date: 04 March 2022 Trade duration: 2 Closing spread: 21.50 Profit / (Loss): 7.50 Profit / (Loss): 53.6% Trade date: 02 March 2022 Security: RUT Price at opening: 2044 Direction: Put Expiry date: 07 March 2022 Strikes: 1965 / 1990 / 2040 Structure: 2 / 3 / 1 Opening Spread: 7.00 Close date: 04 March 2022 Trade duration: 2 Closing spread: 7.92 Profit / (Loss): 0.91 Profit / (Loss): 13.1%
There was a typo in the SPX closing spread. It should have been: Trade date: 02 March 2022 Security: ES Price at opening: 4328 Direction: Put Expiry date: 07 March 2022 Strikes: 4170 / 4225 / 4335 Structure: 2 / 3 / 1 Opening Spread: 14.00 Close date: 04 March 2022 Trade duration: 2 Closing spread: 20.00 Profit / (Loss): 6.00 Profit / (Loss): 42.9% Opened this today. Trade date: 07 March 2022 Security: ES Price at opening: 4271 Direction: Put Expiry date: 09 March 2022 Strikes: 4145 / 4180 / 4250 Structure: 2 / 3 / 1 Opening Spread: 10.00
Closed the ES trade in profit. Trade date: 07 March 2022 Security: ES Price at opening: 4271 Direction: Put Expiry date: 09 March 2022 Strikes: 4145 / 4180 / 4250 Structure: 2 / 3 / 1 Opening Spread: 10.00 Close date: 08 March 2022 Trade duration: 1 Closing spread: 11.17 Profit / (Loss): 1.17 Profit / (Loss): 11.7% Opened a couple of put flies in stocks, both of which rose in price almost immediately, putting the positions into loss. Trade date: 08 March 2022 Security: GOOGL Price at opening: 2535 Direction: Put Expiry date: 11 March 2022 Strikes: 2400 / 2440 / 2520 Structure: 2 / 3 / 1 Opening Spread: 10.25 Trade date: 08 March 2022 Security: TSLA Price at opening: 833 Direction: Put Expiry date: 11 March 2022 Strikes: 745 / 765 / 805 Structure: 2 / 3 / 1 Opening Spread: 5.00
Added another short on the index for expiry tomorrow. Trade date: 09 March 2022 Security: SPX Price at opening: 4245 Direction: Put Expiry date: 11 March 2022 Strikes: 4120 / 4165 / 4255 Structure: 2 / 3 / 1 Opening Spread: 12.10