Simple ToS based butterfly price comparison (Iron, Put & Call)

Discussion in 'General Discussion' started by Chaitanya, Jul 25, 2017.

  1. Chaitanya

    Chaitanya Active Member

    Hello all,

    Inspired by Uwe's fly pricer, here is a simple spreadsheet to compare fly prices (Iron vs Put vs Call) - using tos data and just simple mid prices for pricing. Find it attached.

    In general it seems like sometimes put fly is slightly cheaper than the iron but i've had irons fill at equivalent prices before put flies; and the other way around. So probably just a good to know thing. But it makes it somewhat easier to setup the 3 flies than doing it manually on tos.


    -Chaitanya
     

    Attached Files:

    whitemare and Paul Demers like this.
  2. status1

    status1 Well-Known Member

    Looks interesting
    I modified it to work with SPX
    I am not sure the call fly would be of any use for anyone since it's a lot more expensive

    On the put fly I got 2.90 and the iron was -36.70 so about 3.30 equivalent (for the sep expiration)
    Looking at the T+0 line looks like the Iron has more protection and profit than the put fly on the down side at the beginning but also has more margin requirement Advancing the T+0 line looks like the fly has more profit on the upside but they both need adjustment to keep them profitable on the upside

    I am more of a visual kind of person so I can't tell too much from the numbers They look close enough but once I put them in the Analyzer I can start to see some of the differences
    But still it's a good tool to use as a starting point for comparison
    I may even think of modifying it to be used for other strategies that pops into my head
     
  3. Paul Demers

    Paul Demers Well-Known Member

    I trade both types of butterflies and have found that the T-0 lines are off on both of them. I feel that a more accurate T-0 line is somewhere just below the mid point of the difference between the two T-0 lines. I think this is due to most analysis software not including the dividends in their calculations. When I calculate for the dividends the greeks and T-0 lines are much closer together between the two types of butterflies.
     
  4. Chaitanya

    Chaitanya Active Member

    Attached is v2 of the file; has the difference between put and iron highlighted so i dont need to calculate always. And i have been using it quite a bit recently.

    @status1: Thats right; generally the call fly is kind of no go. but generally i think they are all the same.

    One advantage i have been seing is like i said sometimes i have one filling faster than the other (or filling while the other sits there the whole day with a fill). And on top, for /ES spreads i trade, if i can fill the cheaper one (put fly), i can sometimes shave a 10cent out of the equivalent price of the iron since spreads below 5 bucks trade in 5cent increments vs the quarters for the ones above - i figure it will pay for the commisions.



    @Paul: Totally agree Paul - the T0 line differences might not materialize in final realized pnl due to them changing as trade progresses. Probably both the trades have the same net effect t0 line-wise. The only good thing i find is if i can fill the fly at a slight better price (equivalent cost vise), the expiration max risk is improved. Not sure if i will actually realize the advantage (i think i will). Very often i am seeing that the put fly is showing a slight better advantage - is that for real or due to dividend stuff etc? (I am particularly talking about /ES options).

    ps: i thought i had recently two trades fill at equivalent prices and i was thinking i will check their progress as time passes - but somewhere i lost track of them.

    -Chaitanya
     

    Attached Files:

    Last edited: Jul 30, 2017
  5. status1

    status1 Well-Known Member

    Does that apply to SPX as well which does not have dividends ?
     
  6. Paul Demers

    Paul Demers Well-Known Member

    Actually SPX does have the influence of dividends and should be included in the calculations. I believe the RUT and the NDX are the same regarding dividends.
     

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