Saturday, February 4, 2017

Weekly Trade Summary: Jan 29-Feb 4

Last week I opened two broken wing put butterflies on the SPX (April 7 expiration and May 19 expiration):

(click to enlarge)

I also had one trade expire for a loss.  The corresponding opening trade is shown below:

(click to enlarge)

The expiring trade lost slightly more than my target amount for this trade. Rather than close or adjust this trade in December, I chose to keep it open as a downside hedge through the US presidential inauguration ... just in case.

I currently have seven trades open, with all expiring in March or later. Total defined risk for my seven open trades is currently 32.6% of the account net liquidation value. This risk is broken down into the following groups:
  • 12.5% of net liq - deep out of the money broken wing put butterflies
  • 19.0% of net liq - core broken wing put butterflies at 75% of target size
  • 1.1% of net liq - /CL broken wing put butterfly test
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 2.6%.

I will likely enter two SPX butterflies next week, one core position in the April 14 expiration and one non-core position in the April 21 expiration.  The April 14 expiration series should become available on Thursday.

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Mike Anderson said...

So, you're trading butterflies now - do you have any public backtesting results? I see most of your posts are for ICs. Would you be willing to share test results for butterflies.

Dave R. said...

Hi Mike,

I am currently working through an extensive set of IC backtests that will likely take two or three more months to complete. After I complete this IC series I may publish a butterfly series. In the meantime, take a look at my straddle backtest results to get a sense of butterfly performance.


Mike Anderson said...

Thanks Dave, and still hoping you can find a way to test 10 point wide ICs :)

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