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.
