Saturday, May 20, 2017

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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