Quantcast
  1. This site uses cookies. By continuing to use this site, you are agreeing to our use of cookies. Learn More.

Aug 30(W5) ES Futures Options Broken Wing Butterfly

Discussion in 'Options' started by tom, Jul 25, 2014.

  1. tom

    tom Administrator Staff Member

    I started a new trade today using the ES futures options. I wanted to compare trading the ES futures options to the SPX index options. this will be an interesting experiment. ES futures are $50/point and trade at $0.25 increments.

    ES 1973.00 -7.50
    Video Update


    VIX Futures are in Contango
    (normal)
    2014-07-25_VIX_futures.png

    OptionVue Matrix
    Aug_30_W5__ES_Broken_Wing_Butterfly_Matrix.png

    OptionVue Analyze Chart
    Aug_30_W5__ES_Broken_Wing_Butterfly_Chart.png

    Greeks Calculations
    Aug_30_W5__ES_Broken_Wing_Butterfly_Greeks.png
     
    Last edited: Jul 25, 2014
  2. tom

    tom Administrator Staff Member

    Trade Update
    ES 1971.00 -9.75
    I put a new Futures Options trade on in ES futures today. It's the same expiration as my SPX index trade but the margin is a lot less. Fills weren't bad. It'll be interesting to compare the ES vs SPX trade.

    Video Update


    ES 5 Minute Chart
    2014-07-25_ES_5min_Chart.png

    OptionVue Matrix
    2014-07-25_ES_AUGW5_BWB_Matrix.png

    OptionVue Analyze Chart
    2014-07-25_ES_AUGW5_BWB_Chart.png

    Greeks Calculations
    2014-07-25_ES_AUGW5_BWB_Greeks.png

    Interactive Brokers Trade Log
    2014-07-25_ES_AUGW5_BWB_Trades.png
     
    Last edited: Jul 25, 2014
  3. tom

    tom Administrator Staff Member

    Len Yates at OptionVue figured out the problem. The Aug W5 is really a monthly option. When I selected "monthlys" in the options definitions, the expiration month appeared! I've moved the trades in the T-Log to the correct expiration. Here's the dialog box in OptionVue you need to update:

    2014-07-29_OV_Define_Options.png
     
  4. tom

    tom Administrator Staff Member

    Trade Update
    ES 1963.75 -9.25 -0.47%
    NOTE: As I mentioned in the post above, I fixed my OptionVue so it shows the correct expiration date for this trade!
    ES bounced around today quite a bit. Here's a chart showing ES (red), the VIX (OHLC colored bars) and the first three VX futures contracts:
    2014-07-29 ES Chart Close.png
    The Greeks Calculator shows the downside getting alerted so I'm trying to buy another put debit spread to help on the downside. Here's the existing position:

    Video Update
    http://cdurl.us/p1145

    OptionVue Matrix
    2014-07-29_ES_AUGW5_BWB_Matrix.png

    OptionVue Analyze Chart
    2014-07-29_ES_AUGW5_BWB_Chart.png

    Greeks Calculations
    2014-07-29_ES_AUGW5_BWB_Greeks.png
    Here's my proposed trade. I have an order in to buy this spread at the mid-price. Let's see if it gets filled.
    OptionVue Matrix Proposed
    2014-07-29_ES_AUGW5_BWB_Matrix_Proposed.png

    Greeks Calculations Proposed
    2014-07-29_ES_AUGW5_BWB_Greeks_Proposed.png
     
    Last edited: Jul 29, 2014
  5. tom

    tom Administrator Staff Member

    Trade Update
    While I was making my daily trading update video, I was filled on the put debit spread:

    Interactive Brokers Trade Log
    2014-07-29 ES AUGW5 BWB Trades.png
     
  6. tom

    tom Administrator Staff Member

    Trade Update
    ES 1963,75 -1.00 -0.05% (still trading)
    The GDP and FOMC announcement moved the markets twice today. Both times up initially, then a pull back. The SPX closed nearly where it started but had nearly a 17 point range...so lots of excitement for everyone! My position was down a little during the day but recovered quickly. We fortunately had some theta helping us already for over one week. Time is our ally.

    Video Update
    http://capitaldiscussions.com/toms-trading-update-for-july-30-2014/101172

    VIX, VX futures and ES Futures Chart
    2014-07-30_Volatility_Charts.png

    OptionVue Matrix
    2014-07-30_ES_AUGW5_BWB_Matrix.png

    OptionVue Analyze Chart
    2014-07-30_ES_AUGW5_BWB_Chart.png

    Greeks Calculations
    2014-07-30_ES_AUGW5_BWB_Greeks.png
     
  7. tom

    tom Administrator Staff Member

    Trade Update
    ES and SPX were both down over 40 points during the day. They recovered slightly at the end but closed down about 39 points. I haven't had time to build all of the graphics I usually make. I did make a video trade update for you:

    Video Update


    I'll get the rest of the chart up tomorrow morning. Here are the trades I made yesterday:

    Interactive Brokers Trade Log
    2014-07-31 Trades.png
     
  8. tom

    tom Administrator Staff Member

    RayM likes this.
  9. Tps

    Tps Guest

    Tom - The videos are great and more than enough. Thanks!
     
  10. tom

    tom Administrator Staff Member

    Thanks for the feedback :)
     
  11. RayM

    RayM Well-Known Member

    Videos are great, please keep them coming.
     
  12. tom

    tom Administrator Staff Member

    Many thanks Ray. I appreciate it.

    The markets open in just over 12-hours and ES futures are +4.50. There are no market moving economic events in the U.S. until Wednesday's International Trade report. Hopefully we'll have a few days for the market to consolidate and settle down a bit.
     
  13. tom

    tom Administrator Staff Member

  14. tom

    tom Administrator Staff Member

  15. tom

    tom Administrator Staff Member

  16. Meathead

    Meathead Active Member

    Are you still trading these BWB's?
    I thought your trade videos were excellent - are you still doing those?
    What happened to this particular trade as the market rallied?
    Thanks
     
  17. tom

    tom Administrator Staff Member

    Kind of. I'm doing an experiment with the Floater trade, which starts as a symmetric butterfly and ends up being a broken wing, at which point I trade it more like a bwb.

    Love your picture Meathead!
     

Share This Page