1/20: To start off the position, I put on 12 butterflies at 1320 with 50 point wide wings and a call at 1180 that gave me a total Delta value of -4. I had to add those two extra butterflies to get greater negative delta and vega values so that I could buy a call deeper in the money with a higher positive Delta value. The market was at 1352 when I started the position.
The risk profile for the beginning position can be seen below:
2/9: I bought a 1360/1370 vertical to reduce the negative Delta of the position. The market was outside of the tent of the butterfly and the Delta value needed to be lower than -50.
2/13: Because the market is just constantly moving up, the Vega became positive and the negative Delta value increased to be more than -50. The verticals themselves would not be able to offset the values, so half of the butterflies were moved up to 1350. A 1370/1380 vertical was also added.
The risk profile from 2/13 can be viewed below:
2/14: With yet another day of the market being up, two 1360/1380 verticals are added to offset the negative Delta value.
2/15: The rest of the butterflies were moved up to 1350 to fix the positive Vega value. Also, two more 1360/1380 verticals are added to gain a satisfactory negative Delta value.
2/17: The extra two butterflies were removed from the position to reduce negative Delta from -70 to -36 and increase the negative Vega. The position is currently down -$589 but there are still 28 days until expiration.
The risk profile from 2/17 can be viewed below:
Stay tuned in the coming weeks to watch as I close my March position and put on an April M3!
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