Friday, February 10, 2017

Weekly Trade Summary: Feb 5-Feb 11

Last week I opened two broken wing put butterflies on the SPX (April 13 and April 21 expirations) and closed my crude oil (CL) futures options put butterfly:

(click to enlarge)

The corresponding entry for the CL trade is shown below:

(click to enlarge)

I currently have eight open trades, with expirations in March, April, and May. Total defined risk for these trades is currently at 45.1% of the account net liquidation value. This risk is broken down into the following groups:
  • 12.6% of net liq - deep out of the money broken wing put butterflies
  • 32.5% of net liq - core broken wing put butterflies at 75% of target size
Nine trades have been closed this year...eight wins and one loss.  Based on the statistics for these trades, I had expected more losing trades by this time. The butterfly that I am trading has historically been in the 75% win rate range.  Return on the account for the year is at 2.8%.

I will likely enter one SPX butterfly next week...a core position in the April 28 expiration.  Also, if the SPX continues it's bullish behavior I will make slight adjustments to a few of my open trades.

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