Weekly Trade Summary: June 11 - June 17

No trading activity last week, just one trade expired for a small profit (June 16 expiration). The trades associated with the June 16 butterfly are shown below:

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

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•  Adjustment: May 18 - moved upper longs on the Jun 16 expiration (post)

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I currently have 5 open trades, with expirations in June (1), July (2), and Aug(1):

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Total defined risk for these trades is at 23.6% of the account net liquidation value.

27 trades have been closed this year...15 wins and 12 losses. Return on the account for the year is at 2.6%...not happy with that number!  Total win rate is at 56%.  The win rate on the core trades is at 65% and at the very low end of the expected range. Not happy with the core trade win rate either!  Of the 4 open trades, 3 currently have a positive P&L.

Broken wing butterflies are really struggling lately and not performing as well as last year. I will be digging into the iron condor backtest results a bit more over the next few weeks to see how well they have performed in 2017.

Next week I will adjust the upside long puts on the two July expiration trades, and will likely add another BWB.


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Weekly Trade Summary: June 04 - June 10

Last week I entered one, reduced size, SPX broken wing butterfly (BWB) on the Aug 11 expiration. This trade is shown below:

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I currently have 5 open trades, with expirations in June (2), July (2), and Aug(1):

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Total defined risk for these trades is at 31.9% of the account net liquidation value.

26 trades have been closed this year...14 wins and 12 losses. Return on the account for the year is at 2.4%...not happy with that number!  Total win rate is at 54%.  The win rate on the core trades is at 64% and at the very low end of the expected range. Not happy with the core trade win rate either!  Of the 5 open trades, 2 currently have a positive P&L.

Broken wing butterflies are really struggling lately and not performing as well as last year. I will be digging into the iron condor backtest results a bit more over the next few weeks to see how well they have performed in 2017.

Next week I will adjust the upside long puts on the two July expiration trades, and will likely add another BWB.


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Weekly Trade Summary: May 28 - June 03

I was taken out of commission for a few days at the end of last week, which made it impossible to get my trade summary published. The SPX pushed up above the 2410 level on Thursday, May 25th and stayed there on Friday, May 26th.  This move pushed two of my butterfly positions into adjustment mode. I thought I'd wait and see if we retraced the following week (May 28 to June 3), but wouldn't you know that the SPX pushed strongly higher on June 1.  Rather than adjust and fight the up trend, I closed these two trades and took the loss. The two closing trades are listed below:

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The original two trades are show below:

• Original Trade Entry: May 5 - BWB on the July 7 expiration (post)

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• Original Trade Entry: May 12 - BWB on the July 14 expiration (post)

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

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Total defined risk for these trades is at 26.9% of the account net liquidation value.

26 trades have been closed this year...14 wins and 12 losses. Return on the account for the year is at 2.4%...hardly worth the effort!  Total win rate is at 54%.  The win rate on the core trades is at 64% and at the very low end of the expected range. Of the 4 open trades, 2 currently have a positive P&L.

Broken wing butterflies are really struggling lately and not performing as well as last year. I will be digging into the iron condor backtest results a bit more over the next few weeks to see how well they have performed in 2017.


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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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