Weekly Trade Summary: May 21 - May 27

Last week I closed for a loss, the June 23 butterfly that I had adjusted twice. The snap back rally after the May 17 drop was going to require a third upside adjustment to this trade last week. I decided to not fight this position any longer, with one month remaining until expiration. My trade activity is shown below:

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The trades associated with the June 23 butterfly are shown below:

• Original Trade Entry: April 21 - BWB on the Jun 23 expiration (post)

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• Adjustment: April 25 - added a second BWB on the Jun 23 expiration (post)

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• Adjustment: May 10 - adjustment on first BWB on the Jun 23 expiration (post)

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I currently have 6 open trades, with expirations in June (2), and July (4):

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Total defined risk for these trades is at 42.2% of the account net liquidation value.

24 trades have been closed this year...14 wins and 10 losses. Return on the account for the year is at 3.28%.  Total win rate is at 58%.  The win rate on the core trades is at 70% and at the low end of the expected range. Of the 6 open trades, only 2 currently have a positive P&L.

Next week I may enter trades on the July 31, August 4, and August 18 expirations. If the SPX continues running up, I may adjust trades 27, 28, 29, and 30 in the table above.


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Weekly Trade Summary: May 14 - May 20

Last week I entered one new SPX broken wing butterfly (July 21 expiration), closed out one DOTM BWB hedge for a small profit, expired one DOTM BWB for a tiny loss (~$6), and made small adjustments to two BWB. My trade activity is shown below:

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The adjustments removed any upside loss potential on the BWB on the June 16 and June 30 expirations.  These original two trades are shown below:

• Original Trade Entry: April 3 - BWB on the June 16 expiration (post)

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• Original Trade Entry: April 18 - BWB on the June 30 expiration (post)

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I currently have 7 open trades, with expirations in June (3), and July (4):

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Total defined risk for these trades is at 59.4% of the account net liquidation value.

23 trades have been closed this year...14 wins and 9 losses. Return on the account for the year is at 3.57%.  Total win rate is at 61%.  The win rate on the core trades is at 68% and at the low end of the expected range. Of the 7 open trades, all currently have a positive P&L.

I ran 10, 10 year backtests on my deep out of the money (DOTM) broken wing butterfly (BWB) hedges.  While they can work as a decent hedge if timed properly, over time they appear to lose money using my trading approach.  I closed out the last two of these hedges last week.

Next week I may enter trades on the July 28 and July 31 expirations.


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Weekly Trade Summary: May 07 - May 13

Last week I entered two new SPX broken wing butterflies (July 14 and July 21 expirations), and adjusted the butterfly on the June 23 expiration. The activity is shown below:

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This is the second adjustment on the June 23 butterfly, and the associated trades are shown below:

• Original Trade Entry: April 21 - BWB on the Jun 23 expiration (post)

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• Adjustment: April 25 - added a second BWB on the Jun 23 expiration (post)

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I currently have 8 open trades, with expirations in May (1), June (3), and July (4):

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Total defined risk for these trades is at 60.6% of the account net liquidation value. This risk is broken down into the following groups:

• 7.7% of net liq - DOTM BWB - hedges
• 52.9% of net liq - core BWB

21 trades have been closed this year...13 wins and 8 losses. Return on the account for the year is at 3.50%.  Total win rate is at 62%.  The win rate on the core trades is at 68% and at the low end of the expected range. Of the 8 open trades, 6 are core and all of the core trades are currently up money.

I ran 10, 10 year backtests on my deep out of the money broken wing butterfly hedges.  While they can work as a decent hedge if timed properly, over time they appear to lose money using my trading approach.  I will phase out this style of hedge in the next few weeks.

Next week I may adjust trade #23, entered on 04/04/2017.  I will also likely enter a trade on the July 31 expiration.


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Weekly Trade Summary: Apr 30 - May 06

Last week I entered one new SPX broken wing butterfly in the July 7 expiration. The activity is shown below:

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I currently have 6 open trades, with expirations in May (1), June (3), and July (2):

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Total defined risk for these trades is at 44.9% of the account net liquidation value. This risk is broken down into the following groups:

• 7.8% of net liq - DOTM BWB - hedges
• 37.1% of net liq - core BWB

21 trades have been closed this year...13 wins and 8 losses. Return on the account for the year is at 3.50%.  Total win rate is at 62%.  The win rate on the core trades is at 68% and at the low end of the expected range. Of the 6 open trades, 4 are core and 2 of the core trades are currently up money.

I ran 10, 10 year backtests on my deep out of the money broken wing butterfly hedges.  While they can work as a decent hedge if timed properly, over time they appear to lose money using my trading approach.  I will phase out this style of hedge in the next few weeks.

Next week I plan to adjust trade #26, entered on 4/21/2017.  I will also likely enter trades on the July 21 expiration and the July 14 expiration.


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