RUT 30JUL Scaling Income Butterfly

[IgorKeymaster]

RUT at 2291

I’m going to start a position in RUT with 59 days until expiration. We’ll look to scale into full size in 1/3rds.

First tranche is going to be a 70X60 Put Butterfly, centered at 2270. I am:

Buying 2330/2270 Put Debit spread
Selling 2270/2200 Put Credit spread

This butterfly is currently going for 4.50-4.70 debit

Risk Profile:

Order Ticket:

NOTE: We’ll add the second tranche when RUT trades 50 points above the short strike of the first tranche or 2320 and I will add another 70X50 put butterfly, centered 40 points above the short strike of the first tranche.

[IgorKeymaster]

Update:

RUT at 22.98

I moved all strike up 10 points.

I’m in RUT 30JUL 2210/2280/2340 Put Butterfly for 5.20 debit as tier 1

Risk Profile:

NOTE: Next adjustment when RUT is above 2330

[IgorKeymaster]

RUT at 2333

It’s time to add Tier 2:

Video:

Order Ticket:

Risk Profile:

Next Adjustment point: 2370 or scale out if RUT trades under 2250

[IgorKeymaster]

RUT at 2268

We’re not quiet at 2250 where I said I’d scale down, but with RUT moving almost 2SD today, this tells me that intraday vol is starting to pick up.

I’m going to play a bit more defensive here and take down Tier 2, leaving only Tier 1 open. I will add Tier 2 as I would normally do it IF/WHEN RUT trades back above 2330

Trade Update/Order Ticket:

[IgorKeymaster]

RUT at 2341

I’m going to add Tier 2 butterfly, 70X50 for a debit of 3.00

Video:

Risk Profile:

Order Ticket:

[IgorKeymaster]

RUT at 2310

I’m going to close out this trade (scaled 2/3 size) with 28 days until expiration and showing around 15%ROR

Close Tier 2:

Close Tier 1:

[Author]

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