January 2019 Position

Here is an overview of my January 2019 position:

November 23: I put on my M3 on Friday, 56 DTE like all positions. Since the market was at 1488, I placed my butterflies at 1460. Because of market pricing,  I had to buy 24 butterflies instead of 10 to have a Delta value of -100. In order to offset the negative Delta, I bought a 1270 call to bring the total Delta to -5.

The risk profile graph of the initial position can be seen below:

November 29: The following Thursday, the negative Delta of the position exceeded -50, so I added two 1480/1500 verticals to make the Delta more positive. Adding the two verticals also helped flatten out the t + 0 line and moved some of the risk from the front to the back of the tent of the butterflies. With the adjustment, the Greeks are as follows: Delta -26, Theta 79, and Vega -234.

December 3: I had to move my position up the following Monday because the market was 30 points above my long strikes. I had refrained from moving them up earlier because my Vega was still negative, but because my Theta was so low I moved the butterflies up to 1510. This is was 35 points below the current market price. When moving my butterflies up, I sold two butterflies because my Delta exceeded -50 with the adjusted position. The Greeks for the updated position are Delta -42, Theta 147, and Vega -649.

The risk profile graph of the adjusted position can be seen below:

December 4: I had to move my butterflies again the next day because the market had dropped so much over the past few days (it was below my shorts) and the Delta was above the positive 50 limit for the position. I placed the new butterflies at 1450, a little more than 30 points below the market at 1483. The Greeks for the updated position are Delta -18, Theta 141, and Vega -522.

The risk profile graph of the position can be seen below:

December 10: I had to move my butterflies even further down because the Delta of the position exceeded 50 after the market had moved down more. I moved the butterflies from 1450 to 1420, about 20 points below the market. The Greeks for the updated position are Delta 9, Theta 151, and Vega -483.

The risk profile graph of the position can be seen below:

I will try and update as often as possible in the new year. I hope you continue to follow the blog as I close the January position and continue trading in 2019!

June and July 2018 M3 Positions

Below you can find my June and July M3 positions. Because the June position did not require any adjustments, I decided to include the July trade in this post as well.

June

April 20: I started the position 56 DTE. Since the market was at 1562, I put my butterfly at 1540 which is about 20 points below. I had to enter 15 butterflies instead of 10 because only 10 butterflies did not give me enough negative Delta to buy a deep-in-the-money call. After buying 15 butterflies and the call, I also bought three 1510/1530 verticals so that my position Delta came to -6.4. I started the trade with values of -660 for Vega and 76 for Theta.

Below is a risk profile graph of my starting June position.

May 2: I decided to take the position off for a $3,575 profit. Since my profit/loss is about +/- $3,000, this profit made sense to take, especially since it did not require any adjustments.

Below is a risk profile graph of the position when I closed it.

July

May 25: I started the position at 56 DTE for July. When I bought 10 butterflies at 1600 for this expiration, I had too much negative Delta, so along with the call at a strike of 1400, I also bought three 1560/1570 vertical spreads. These allowed my overall position Delta to be -6, increased the starting Theta of the position (49.6), and made my Vega value more negative (-504).

Below is a risk profile graph of the starting position.

June 5: After the market rose to 1660, it was higher than the upper strike of the butterfly, and I decided to move all 10 butterflies up to 1630. I placed them 30 points below the market because I thought after rising so rapidly, the market would likely come back down and would sit in the tent of the butterfly, where I could make the most money.

June 7: Just two days later, I had to make another adjustment to the position. The negative Delta was too high (more than the limit of -50 in the tent) and I had to add verticals to correct it. I put on five 1610/1620 verticals which brought the Delta down to -36.

Below is a risk profile graph of the position after the previous adjustments.

June 11: The negative Delta of the position was too high again, so I bought more verticals to correct it. I put on five verticals at 1620/1640 to bring the Delta down to -31.

June 18: One week later, I had to move up all of my butterflies again because the market was above the upper strike of the butterfly. I moved the butterflies to 1660 since the market was at 1689. With this move, the Delta of the position was too negative, so added five additional verticals at 1640/1660 to correct the Delta. The position is currently down $835.

Below is a risk profile graph of the position after the previous adjustments.

June 22: By the end of the week, the position was at -$2,500, so I decided to close it before the position greatly exceeded my max loss. The position ended with values of 12.5 for Delta, 200 for Theta, and -852 for Vega.

Thank you for reading! If you have any questions or concerns, feel free to leave a comment and I will get back to you.