Opened a directional position on GBPUSD on Monday. Trade date: 05 June 2023 Security: GBP Price at opening: 1.2394 Direction: ItM/AtM Call Debit Spread Expiry date: 03 July 2023 Strikes: 1.2325 / 1.2425 Opening Spread: 0.0059
Closing orders for the GBPUSD trade filled towards the end of yesterday's session. Trade date: 05 June 2023 Security: GBP Price at opening: 1.2394 Direction: ItM/AtM Call Debit Spread Expiry date: 03 July 2023 Strikes: 1.2325 / 1.2425 Opening Spread: 0.0059 Close date: 08 June 2023 Trade duration: 3 Closing spread: 0.008 Profit / (Loss) 0.0021 Profit / (Loss) 35.6% Introducing a couple of non-directional trades to capture anticipated fall in volatility on US Treasuries in case anyone is interested: Opened 23/06/2023 124/127.50/131 Iron Fly for 2.27 credit on 30/05/2023 and closed 07/06/23 for 1.95, or 25.3% profit on VaR Opened 30/06/2023 124.50/127/129.50 Iron Fly for 1.77 credit yesterday.
Do you have an overview of success rate and/or profitability of each spread type you use? I have a general impression that butterflies were most sucessfull in your journal.
I don't have info for the flies to hand @Perspective , but the other stuff is: ...so Calendars are arguably my most profitable strategy, but I don't get many set-ups / opportunities that meet my conditions / requirements. Monthly equivalent rate isn't compounded in the table btw. The downside with butterflies vs vertical spreads is that with flies I need to be right with both direction and magnitude. As you can see in this journal, there were plenty of OtM flies where the underlying moved sufficiently beyond the body of the fly, that the trade didn't make a (satisfactory) profit. c.f. Vertical debit spreads (short leg AtM) that provide upside as long as direction doesn't move too far against me. I have been using Iron Flies to attept to capture theta decay and drop in vol, which seems to complement the directional stuff quite well. The 1DtE stuff is exploratory with small positions but is included for context.
I was about to post a short directional trade on oil that was opened on Friday, and realised that closing orders had already filled this morning, so an unexpected nice quick profit on that one. Trade date: 09 June 2023 Security: CL Price at opening: 71.20 Structure: ItM/AtM Put Debit Spread Expiry date: 23 June 2023 Strikes: 71 / 72.75 Opening Spread: 0.96 Close date: 12 June 2023 Trade duration: 3 Closing spread: 1.38 Profit / (Loss): 0.42 Profit / (Loss): 43.8% with hindsight, I probably should have pushed closing orders out more aggressively rather than leave upside in the market.
I have changed approach for GBP slightly, and expect that duration of swing positions will be shorter than for the other securities traded. Opened this yesterday and looking to close in less than a week. Trade date: 14 June 2023 Security: GBP Price at opening: 1.2711 Direction: ItM/AtM Put Debit Spread Expiry date: 21 June 2023 Strikes: 1.27 / 1.275 Opening Spread: 0.0028
Closed the cable trade at a loss. It went the wrong way almost imeediately and showed no sign of turning around. Trade date: 14 June 2023 Security: GBP Price at opening: 1.2711 Direction: ItM/AtM Put Debit Spread Expiry date: 21 June 2023 Strikes: 1.27 / 1.275 Opening Spread: 0.0028 Close date: 16 June 2023 Trade duration: 2 Closing spread: 0.0021 Profit / (Loss) -0.0018 Profit / (Loss) -64.3%
Closing orders filled for the IronFlies on ZB Treasuries (#384) at 1 37 (or 1.58 in decimal), or 25.5% profit after 8 days.