The butterfly megathread

OK, I Johnny traded a bwb this morning on SPY. My "feel" is that 276 isn't going to materialize. If 276 is breached, I'll probably close, but I want to see how these play out.

I did a call spread because I still don't fully understand the benefits you're getting by using puts and I think the price was about the same either way.

I wish I got the 0.39 credit shown in the screenshot, but my fill was 0.32. SPY was ~271.10 at the fill time I believe.

 

My benefit is in the skew mainly.

 

Right. I suppose what I don't understand is that when you say that, are you looking for a better price to open (cheap wings) or do you think the skew will change to your benefit if the price moves down?

 

I believe both can happen assuming what dest says about stick deltas and the body strikes.

 

But in addition to that I rely on decay and volatility to work together. Today's pop stressed the FLY but we topped based on my intraday futures trading. Not sure if we have another leg up but some more chop up and down will be helpful.

 

Out for a loss at:

 

Thank you both for continuing the back and forth. I'm learning allot from the sidelines.

 

Correction, SPY was at ~272.10 at the time of fill, not ~271.10. Today's close at ~273.50 shows a 0.04 loss so far (mid quote -0.36). A pullback would be nice.

 

be short right before an event like an earnings if you can sort ur strikes so u go in on top of them them. the high event vol + vol convexity of the wings mean they are insanely high and obviously not justified since u aren't vega hedging and they go to zero when the event comes out

 

hey tommy, could you elaborate more? Something tells me that didn't make any sense.