Mar2016Butterfly
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Theta Trend Butterfly Trade Tracker
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$1.50
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$0.015
Per Contract Commission
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2,016.700SPX Spot
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15.290ATM iv
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16.1341 Day SD
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72.15520 Day SD
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102.04340 Day SD
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(Inc. Comm.)
(Inc. Comm.)
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Entry DateUnderlyingEntrySkewExpStrikeIV EntryType# ContractsDTE Price Inc. Comm. Net Cr. (Dr) Exit Date Exit Price P/L Position P/L
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3/14/2016SPX2016.701.31April5 20162055.0014.80%Put146 (64.00) (64.015) (100.48)3/16/2016 63.01 (1.02) (137.00)
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3/16/2016
Reverse Harvey
April5 20162050.0014.31%Put1 (60.18) (60.195)3/30/2016 20.85 (39.36)
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Note:Fly + Long CalApril5 20161990.00-17.08%Put-1 36.55 36.535 3/30/2016 (8.75) 27.77
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April5 20161990.00-17.08%Put-1 36.55 36.535 3/30/2016 (8.75) 27.77
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3/29/2016
Reverse Harvey
April5 20161935.00Put1 (9.05) (9.065)3/30/2016 4.10 (4.98)
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3/16/2016
Reverse Harvey
April5 20161930.0018.59%Put1 (19.39) (19.405)3/29/2016 8.45 (10.97)
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April5 20161925.0019.45%Put1 (20.85) (20.865)3/16/2016 18.46 (2.42)
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SPY202.39April5 2016202.5014.02%Call147 (3.80) (3.82)3/30/2016 5.67 1.84
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3/17/2016SPX2043.521.36April5 20162085.0012.52%Put143 (59.05) (59.065) (152.66)3/23/2016 61.90 2.82 (262.00) (345.00)
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3/23/2016
Reverse Harvey
April5 20162080.0012.50%Put1 (58.65) (58.665)3/29/2016 56.45 (2.23)
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3/29/2016
Reverse Harvey
April5 20162075.00Put1 (53.15) (53.165)4/6/2016 36.73 (16.45)
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Note:
Split Strike Fly + Long Cal
April5 20162025.00-14.58%Put-1 31.30 31.285 4/6/2016 (17.31) 13.96
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April5 20162020.00-14.76%Put-1 29.70 29.685 -
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4/6/2016BWB ConvertApril5 20162055.00Put1 (27.41) (27.425)
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4/6/2016BWB ConvertApril5 20162015.00Put-1 14.79 14.775
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3/23/2016
Reverse Harvey
April5 20161960.0016.86%Put1 (15.25) (15.265)
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April5 20161955.0017.05%Put1 (14.80) (14.815)3/23/2016 14.40 (0.43)
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SPY204.98April5 201620523.54%Call144 (3.10) (3.12)4/6/2016 2.84 (0.29)
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4/1/2016SPX2068.061.44Apr5 20162105.0010.17%Put128 (46.73) (46.745) (13.11)4/6/2016 59.10 12.34 54.00
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Note:
Split Strike Fly + Long Call
Apr5 20162055.00-12.15%Put-1 22.13 22.115 4/6/2016 (29.10) (7.00)
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Apr5 20162050.00-12.35%Put-1 20.53 20.515 4/6/2016 (27.00) (6.50)
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Apr5 20161995.0014.64%Put1 (8.98) (8.995)4/6/2016 11.55 2.54
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SPY206.4Apr5 201620623.54%Call129 (2.90) (2.92)4/6/2016 2.09 (0.84)
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766.00Days in trade4/29/2016
Expiration (Agrees w/ SPX options)
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Date
Days in trade
DTESPXVIXDeltaGammaTheta VegaP/LAdj #Notes
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3/14/20160462019.6416.92 (2.08) (0.01) 8.12 (28.78) 9.00
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3/15/20161452015.9316.84 (2.35) (0.01) 9.03 (34.65) 45.00
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3/16/20162442027.2214.99 (1.95) 0.01 7.01 (19.26) 22.00 1
Reverse Harvey to flatten T+Zero ahead of Fed and protect profit
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3/17/20163432040.5914.44 (3.48) (0.02) 17.06 (65.15) 1.00 2
Upside adjustment - Added split strike Butterfly and long SPY call
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3/18/20164422049.5814.02 (4.59) (0.01) 13.98 (47.18) (16.00)
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3/21/20167392051.613.79 (7.79) - 16.12 (49.67) (22.00)
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3/22/20168382049.814.17 (9.41) - 17.62 (54.84) (5.00)
A little short delta now, but I'm hesitatnt to adjust because I have a slight bearish bias
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3/23/20169372036.7114.94 (6.80) (0.05) 20.23 (74.64) 82.00 3
Reverse Harvey on upper fly to flatten T+Zero
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3/24/20161036 2,035.94 14.74 (7.52) (0.06) 22.25 (81.91) 124.00
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3/28/20161432 2,037.05 15.24 (7.84) (0.07) 24.77 (80.24) 172.00
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3/29/20161531 2,055.01 13.82 (9.44) 0.06 15.51 (26.03) 113.00 4
Reverse Harvey on the upper and lower puts to protect trade
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3/30/20161630 2,063.95 13.56 21.00 5
Closed out the lower butterfly
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3/31/20161729 2,059.74 13.95 (3.46) (0.02) 11.83 (33.78) 29.00
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4/1/20161828 2,072.78 13.10 (10.57) (0.08) 24.31 (79.36) (33.00)6
Added additional butterfly
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4/4/20162125 2,066.13 14.12 (7.62) (0.17) 30.74 (98.25) 73.00
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4/5/20162224 2,045.17 15.42 (3.80) (0.37) 44.85 (161.80) 196.00
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4/6/20162323 2,066.66 14.09 (3.21) (0.05) 11.79 (32.18) 123.00 7
Converted to BWB to protect open profit. Alternative is to close
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4/7/20162422 2,041.91 16.16 (0.35) (0.12) 18.34 (53.84) 117.00
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4/8/20162521 2,047.60 15.36 (1.85) (0.11) 18.42 (50.82) 157.00
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4/11/20162818 2,041.99 16.26 (1.06) (0.14) 23.57 (54.88) 182.00
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4/12/20162917 2,061.72 14.85 (4.66) (0.06) 16.73 (31.95) 187.00
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4/13/20163016 2,082.42 13.84 (5.87) 0.04 5.30 (3.15) 120.00
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Out
Trade Closed for $185 Gross/$125 Net Profit
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Will update details later (4/14/16)
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