Popped a 132 Put Fly on TSLA today and closing orders filled a couple of hours later as TSLA dropped below USD900. Trade date: 27 April 2022 Security: TSLA Price at opening: 902.78 Direction: Put Expiry date: 29 April 2022 Strikes: 825 / 865 / 885 Structure: 1 / 3 / 2 Opening Spread: 5.35 Close date: 27 April 2022 Trade duration: 0 Closing spread: 6.35 Profit / (Loss): 1.00 Profit / (Loss): 18.7%
Opened a Put Fly on SPX today, for expiry on Monday: Trade date: 28 April 2022 Security: SPX Price at opening: 4264.7598 Direction: Put Expiry date: 02 May 2022 Strikes: 4150 / 4190 / 4270 Structure: 2 / 3 / 1 Opening Spread: 11.60 Close date: 02 May 2022
Closing orders filled earlier today in profit. Trade date: 28 April 2022 Security: SPX Price at opening: 4264.7 Direction: Put Expiry date: 02 May 2022 Strikes: 4150 / 4190 / 4270 Structure: 2 / 3 / 1 Opening Spread: 11.60 Close date: 29 April 2022 Trade duration: 1 Closing spread: 16.10 Profit / (Loss): 4.50 Profit / (Loss): 38.8%
Opened a put fly on S&P500 expiring on Friday. Trade date: 03 May 2022 Security: SPX Price at opening: 4174 Direction: Put Expiry date: 06 May 2022 Strikes: 4020 / 4070 / 4170 Structure: 2 / 3 / 1 Opening Spread: 14.00
Closing orders filled today, in profit. Trade date: 03 May 2022 Security: SPX Price at opening: 4174 Direction: Put Expiry date: 06 May 2022 Strikes: 4020 / 4070 / 4170 Structure: 2 / 3 / 1 Opening Spread: 14.00 Close date: 04 May 2022 Trade duration: 1 Closing spread: 18.75 Profit / (Loss): 4.75 Profit / (Loss): 33.9%
Was able to devote more time to this recently. A couple of recent Flies closed in profit. Trade date: 10 May 2022 Security: AMZN Price at opening: 2200 Implied Vol 67.0% Direction: Put Expiry date: 13 May 2022 Strikes: 2070 / 2110 / 2190 Structure: 2 / 3 / 1 Opening Spread: 12.65 Close date: 11 May 2022 Trade duration: 1 Closing spread: 16.40 Profit / (Loss): 3.75 Profit / (Loss): 29.6% Trade date: 17 May 2022 Security: SPX Price at opening: 4068.9 Implied Vol 28.9% Direction: Put Expiry date: 20 May 2022 Strikes: 3960 / 3995 / 4065 Structure: 2 / 3 / 1 Opening Spread: 8.90 Close date: 18 May 2022 Trade duration: 1 Closing spread: 12.25 Profit / (Loss): 3.35 Profit / (Loss): 37.6% I'll try to revert to reporting trades here once opened and live.
I also applied a similar methodology to Calendar Puts over 5/7 days, predominantly for the cash-settled Mon/Wed/Fri cycles (Nasdaq, Russell 2000 and S&P500) which has gone well. These take considerably less time to run simulations for, but I only expect to get 6-8 set-ups per month. 24 out of 26 trades have closed in profit, with average profit of 21.3%. I'll try to add them here in future. the last few trades were: Trade date: 10 May 2022 Security: RUT Price at opening: 1737 Direction: Put Expiry date (short side): 13 May 2022 Implied Vol (short side) 49.5% Expiry date (long side): 16 May 2022 Implied Vol (long side) 40.6% Strikes: 1695 Opening Spread: 4.00 Close date: 11 May 2022 Trade duration: 1 Closing spread: 5.00 Profit / (Loss): 1.00 Profit / (Loss): 25.0% Trade date: 10 May 2022 Security: SPX Price at opening: 3999 Direction: Put Expiry date (short side): 13 May 2022 Implied Vol (short side) 36.3% Expiry date (long side): 16 May 2022 Implied Vol (long side) 33.6% Strikes: 3930 Opening Spread: 9.00 Close date: 12 May 2022 Trade duration: 2 Closing spread: 13.15 Profit / (Loss): 4.15 Profit / (Loss): 46.1% Trade date: 17 May 2022 Security: SPX Price at opening: 4008 Direction: Put Expiry date (short side): 20 May 2022 Implied Vol (short side) 38.8% Expiry date (long side): 23 May 2022 Implied Vol (long side) 30.8% Strikes: 3935 Opening Spread: 4.95 Close date: 18 May 2022 Trade duration: 1 Closing spread: 7.93 Profit / (Loss): 2.98 Profit / (Loss): 60.3%
Opened a couple of Calendar trades today to close by Friday hopefully: Trade date: 23 May 2022 Security: NQ Price at opening: 12025 Direction: Put Expiry date (short side): 27 May 2022 Implied Vol (short side) 42.8% Expiry date (long side): 31 May 2022 Implied Vol (long side) 35.1% Strikes: 11750 Opening Spread: 29.75 Trade date: 23 May 2022 Security: RUT Price at opening: 1789.5 Direction: Put Expiry date (short side): 27 May 2022 Implied Vol (short side) 38.0% Expiry date (long side): 31 May 2022 Implied Vol (long side) 32.8% Strikes: 1755 Opening Spread: 4.20
Opened a Put Fly on TSLA for expiry on Friday, but closing orders filled later in the session before I was able to report it here. Trade date: 24 May 2022 Security: TSLA Price at opening: 633 Implied Vol 106.6% Direction: Put Expiry date: 27 May 2022 Strikes: 570 / 590 / 630 Structure: 2 / 3 / 1 Opening Spread: 5.80 Close date: 24 May 2022 Trade duration: 0 Closing spread: 7.30 Profit / (Loss): 1.50 Profit / (Loss): 25.9%
Got a small profit on Nasdaq but the bounce in everything looks suggests that the RUT Calendar will be worthless. I'll probably leave the long side on in case there is a drop on Tuesday. Trade date: 23 May 2022 Security: NQ Price at opening: 12025 Direction: Put Expiry date (short side): 27 May 2022 Implied Vol (short side) 42.8% Expiry date (long side): 31 May 2022 Implied Vol (long side) 35.1% Strikes: 11750 Opening Spread: 29.75 Close date: 26 May 2022 Trade duration: 3 Closing spread: 33.00 Profit / (Loss): 3.25 Profit / (Loss): 10.9%