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RUT at 1448
I’m going to scale in an Income Butterfly with 36 days until expiration.
I’m going to start with a 70X60 put butterfly centered at 1430.
I will add Tier 2 when RUT trades above 1470 and will center T2 butterfly 20 points above Tier 1
Order Ticket Type Asset Duration Strike C/P BTO RUT 30 OCT 1490 PUT STO X2 RUT 30 OCT 1430 PUT BTO RUT 30 OCT 1360 PUT Total Debit: 5.60 RUT at 1495
I am going to add 1440/1510/1570 Put Butterfly
RUT at 1569
I’m going to Sell To Close 1360/1430/1490 Put Butterfly MID 3.90 CREDIT
Next, I will Buy To Open 1490/1560/1620 Put Butterfly MID 9.40 DEBIT
Here’s what the new Risk Profile looks like:
RUT at 1613
It’s time to make the next adjustment as we’re trying to move the profit tent slightly behind the price.
We’re adding 30OCT 1520/1590/1650 Put butterfly for 9.75 debit
RUT at 1627
I’m going to BUY TO CLOSE the farthest OTM put butterfly here:
RUT at 1627
To avoid overlap of the wings in our existing position, we’re adding a call butterfly. We’re going to use same structure, 70 by 60 wingspan and this is what the trade looks like:
With 18DTE it might be a little late to keep rolling up the lowest of 3 butterflies.
I do feel like we need to reduce delta. Instead of buying call spreads and paying a debit, I think selling 1620/1600 put spread makes sense.
This will bring in about 5.60 of credit while requiring about $1500 of BPR.
This put spread will take NET delta from -19 to -12 and increase THETA from 75 to 77
RUT at 1642
11 days to expiration. If RUT continues higher we may need to add some long delta here and this will likely require additional BPR. To manage our BP, it makes sense to close out the lowest of all butterflies. This move will cut our BPR by almost 40% and it will not affect our NET delta
RUT at 1604
3 days until expiration and it’s time to close out this trade.
Current P/L:
Sell To Close 1550/1620/1680 call butterfly
Sell To Close 1520/1590/1650 put butterfly
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