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SPX at 4485
I’m going to set up a put butterfly with 20DTE.
My planned capital for this trade is 10k, this is the most I want tied up in this trade (assuming further adjustments).
This trade starts with 4390/4350 put debit spread and 4350/4300 put credit spread. Each butterfly will take up 1k BP (plus/minus any debit or credit at entry)
My goal is to exit with about 10% ROR and I will consider stopping out IF/WHEN I reach -15% ROR
Risk Profile:
Order Ticket:
Less than 24 hours later and -3.8SD move lower, SPX is at 4338
I’m going to make an adjustment to cut my NET delta from +7 to close to 0 (7 contracts total position)
I am rolling 2 of 14 of the 4350 puts down to 4330 for a debit.
This adjustment is going to increase upside risk but will reduce risk on the downside.
Here’s the Risk Graph:
Order Ticket:
SPX at 4244
I’m going to roll 5 (of 12) short 4350 puts down to 4330 strike for a debit
Order Ticket:
Risk Profile:
This adjustment is going to reduce risk on the downside but will increase risk on the upside.
I am still within 10k planned risk (BPR) in this trade
SPX at 4213
Position update:
On this move down, the SPX 11MAY has benefited from it and now the price is way outside of the profit tent. With little risk on the downside, I think it’s ok to hold this a bit here and see how things shake out
Risk Profile:
SPX at 4189
The price is well outside the profit tent and we’re seeing about an 8% ROR
I’m going to remove all of the downside risk here and also reduce BRP for this trade from 7,500 to about 4,000
I’m rolling 4300 long put up to 4315 strike and rolling 4390 long put down to 4390 strike
Order Ticket:
Risk Profile:
SPX at 4168
I’m going to go ahead and close out this trade around 10% ROR
Risk Profile:
Closing Order Ticket:
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