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Aug 30(W5) SPX Broken Wing Butterfly

Discussion in 'Options' started by tom, Jul 21, 2014.

  1. tom

    tom Administrator Staff Member

    I started a new trade today in SPX. Another broken wing butterfly. I wrote up the trade here:

    http://cdurl.us/p1123

    I had fills at or near the mid-prices and I didn't have to wait very long. I still have my ES futures options bear put spread so if SPX/ES sell off about 25 points, that vertical will help the account gain some cash. Today was a good day to put the trade on with a little pop in volatility.

    OptionVue Matrix
    2014-07-21_SPX_AUGW4_BWB_MatrixB.png

    OptionVue Analyze Chart
    2014-07-21_SPX_AUGW4_BWB_Matrix.png

    Greeks Calculations
    2014-07-21_SPX_AUGW4_BWB_Greeks.png

    Interactive Brokers Trade Log
    2014-07-21_SPX_AUGW4_BWB_Trade_Entry.png

    Portfolio Margin (Reg T margin would be $33,679)
    2014-07-21_SPX_AUGW4_BWB_Portfolio_Margin.png
     
  2. ACS

    ACS Well-Known Member

    Butterfly to spread ratio is a little higher this month isn't it?
     
  3. tom

    tom Administrator Staff Member

    A little bit. I have that ES bearish put vertical to help too if we get a little sell off.
     
  4. tom

    tom Administrator Staff Member

    Here's a video going over the trade

     
  5. tom

    tom Administrator Staff Member

    Trade Update
    SPX 1983.35 +9.72
    The market gapped open and extended the move up during the first half of the trading day. There was a small sell off but the market recovered most of that by the close. The trade is now in a REALLY good place. Time to let theta do it's magic. Here's a recap from Briefing.com:

    July 22, 2014
    The economy may be heating up, at least slightly, based on today's economic news that includes another firm consumer price report, where year-on-year rates are testing the key 2 percent threshold, and a very convincing rise in existing home sales which continue to recover from the soft winter. The Dow rose 0.4 percent to 17,113 while interest rates and commodities were little changed. The euro was a mover in the session, falling 0.4 percent against the dollar to $1.3468 on expectations for more stimulus from the European Central Bank.​

    Video Review


    OptionVue Matrix
    2014-07-22_SPX_AUGW4_BWB_Matrix.png

    OptionVue Analyze Chart
    2014-07-22_SPX_AUGW4_BWB_Chart.png

    Greeks Calculations
    2014-07-22_SPX_AUGW4_BWB_Greeks.png
     
  6. Bohdan

    Bohdan Well-Known Member

    Tom,
    Thanks for today's video on the Aug. BWBFly. WELL DONE !! I appreciate your work and the clarity
    you present in your work.
    Question...what software do you use to create this video..??
    Looking forward to tomorrow's video.
     
  7. tom

    tom Administrator Staff Member

    Hi Bohdan,

    I'm using Camtasia Studio to record the videos. Pretty simple to use. I have some screen annotation software I found that I'm going to try hopefully tomorrow! I'm glad you like the videos and trades! I really appreciate the feedback!
     
  8. tom

    tom Administrator Staff Member

    Trade Update
    SPX 1987.22 +3.69
    SPX was higher most of the day which is great for our broken wing butterfly. Volatility came out and we increased our profit on the trade to +$568 in just two days. It is very tempting to take it off and re-position but if I have some patience for about two weeks, we could substantially improve the returns.

    Video Update


    OptionVue Matrix
    2014-07-23_SPX_AUGW4_BWB_Matrix.png

    OptionVue Analyze Chart
    2014-07-23_SPX_AUGW4_BWB_Chart.png

    Greeks Calculations
    2014-07-23_SPX_AUGW4_BWB_Greeks.png
     
  9. tom

    tom Administrator Staff Member

    Trade Update
    SPX 1987.75 +0.74
    SPX was essentially unchanged today so our position profit grew. The time window is starting to shrink plus we've run up so I took the put debit spread hedge off today for a $4.15 credit. Daily chart still looks bullish to me but we could see some profit taking before moving higher. Greeks looks great. T+0 line looks very flat. Let's see what happens tomorrow.

    SPX Daily Chart
    2014-07-24_SPX_AUGW4_BWB_SPX_Daily.png

    Video Update


    OptionVue Matrix
    2014-07-24_SPX_AUGW4_BWB_Matrix.png

    OptionVue Analyze Chart
    2014-07-24_SPX_AUGW4_BWB_Chart.png

    Greeks Calculations
    2014-07-24_SPX_AUGW4_BWB_Greeks.png

    Interactive Brokers Trade Log
    2014-07-24_SPX_AUGW4_BWB_Trades.png
     
  10. tom

    tom Administrator Staff Member

    I realized this morning that the options I'm trading were not listed in OptionVue. They are the Aug 30th expiration options. That explains why the prices in OptionVue were never close to the prices at Interactive Brokers. I've updated the thread title and written to Len Yates to see if he can figure out why SPX Aug 30 options aren't appearing in OptionVue. So I really have 36 days to expiration instead of 29. I must have picked the wrong expiration date in IB's Trader Workstation accidentally. Sorry about the confusion!
     
  11. ACS

    ACS Well-Known Member

    Looks like Aug 30th options should be W5 not W4.
     
  12. tom

    tom Administrator Staff Member

    Right..I just saw that too!
     
  13. tom

    tom Administrator Staff Member

    I just wrote to Len Yates. I suspect OptionVue has a bug in it if a month has five Fridays like Aug 2014 does. I'll let you know what Len says (Len: you can reply directly too)...
     
  14. tom

    tom Administrator Staff Member

    Len wrote back (thanks Len!):

    Apparently our options definition file – a huge file that we receive from a reliable source which contains a list of all the existing options – does not contain those weeklys. You did the right thing to change the expiration date in Define Weeklys from Sep 6 to Aug 30. Now, if you will also uncheck AutoStrike Enabled, you will see prices fill in in your Matrix. When AutoStrike is enabled, the program checks every individual option against the big list to see if the option truly exists. If it is not found in the list, the Matrix shows the option grayed out.

    You will want to remember to turn AutoStrike back on sometime (perhaps on Monday?) because AutoStrike also manages the range of strikes, plus expiration months.

    Len
     
  15. tom

    tom Administrator Staff Member

    Updating the Trade
    OK.. I messed it up. I picked the wrong expiration date in IB. I saw the last expiration in OV at Aug 23 and picked the last expiration in Aug at IB and thought they were the same. NOT! I actually opened a position one week later that expire on Aug 30th (last day of trading is Aug 29). Now that I've updated OptionVue, I can update the trade with the correct information:

    at 10:41AM ET: SPX 1982.04 -5.94
    OptionVue Matrix
    2014-07-25_SPX_AUGW5_BWB_SPX_Matrix.png

    OptionVue Analyze Chart
    2014-07-25_SPX_AUGW5_BWB_SPX_Chart.png
     
  16. tom

    tom Administrator Staff Member

    Trade Update
    SPX 1978.13 -9.85
    SPX opened lower and stayed down all day. VIX futures are still in contango so the market isn't panicking yet...but that can change :) We gave up some of our profit due to volatility and price moving against us today. The trade is still up overall and we're still in good position for the trade. We're 28 points above the upper long put and a few days of time have already passed. Let's keep an eye on it for next week in case we have a big move down. I don't anticipate that happening but we'll react to the market if it does.

    Video Update


    SPX 5 Minute Chart
    2014-07-25_SPX_5min_Chart.png

    OptionVue Matrix
    2014-07-25_SPX_AUGW5_BWB_Matrix.png

    OptionVue Analyze Chart
    2014-07-25_SPX_AUGW5_BWB_Chart.png

    Greeks Calculation
    2014-07-25_SPX_AUGW5_BWB_Greeks.png
     
    Last edited: Jul 25, 2014
  17. David Stewart

    David Stewart Well-Known Member

    The Graham dot! Didn't know it was called that. Very interesting! Thanks Tom, and happy birthday to the wife and enjoyed the live presentation this morning.
     
  18. tom

    tom Administrator Staff Member

    Thanks David. Disaster struck as I forgot to record the meeting! Arrrrrgg! Totally my fault as I was the host. I'm going to try to record a summary for those who missed it.
     
  19. RayM

    RayM Well-Known Member

    grrr, major bummer, I have been there, done that...so I understand.

    I should have changed my appointment and been there live...next time...hope I get another invite.
     
  20. tom

    tom Administrator Staff Member

    Hi Ray,
    I increased our WebEx account size to accommodate more people going forward so we'll be doing this every week. I'll be posting the link either in the forum or on the blog (maybe both).
     

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