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SPX at 4326
I’m setting up a slightly bullish broken wing put butterfly with 65 days until expiry.
The short strike of this butterfly is placed slightly OTM, around 40 delta.
For the wings, I’m going to use a 60pt wing on the downside and a 50pt wing on the upside.
This will eliminate any upside risk as long as the trade is entered for a CREDIT.
The risk in this trade is the difference between the widths of the wings (10 points X 100) or $1,000 minus any credit received for this trade.
This trade is going for around $110 credit and this would take MAX risk down from $1,000 to $890
I am going to look for a 10-15% ROR
On the downside, if SPX moves passed my lower long put, I will look to make an adjustment to keep my NET delta relatively flat.
Worst case, if this trade is down $150-$160 then I will cut the trade loose.
Order Ticket:
Risk Profile:
SPX at 4500
I’m going to close out 1/2 of this position
Order Ticket:
Risk Profile:
SPX at 4485
I’m going to add another put butterfly, closer to ATM
Order Ticket:
Risk Profile:
SPX at 4238
The price is well within the profit tent(s) and now this position is accumulating positive delta, currently +8
I’m going to roll the 4170 long put up to 4185 strike for a debit.
This adjustment is a debit trade and will take my NET delta from +8 to about 0
Risk Profile:
Order Ticket:
As long as the price is inside the tent, I’ll try to keep this position delta neutral and wait for decay to do it’s job. If the price starts to move in either direction, I will look to make further adjustment by rolling the wings in on both sides of this trade.
SPX at 4172
I’m going to make one more adjustment to eliminate all of the downside risk. This will leave me with risk on the upside, specifically over 4350 level
Risk Profile:
Order Ticket:
For my next adjustment, I am considering eliminating the put butterfly centered at 4320 and this should leave a risk free PUT CONDOR
To make the remaining PUT CONDOR risk free, I need to collect at least 10.00 for the farther OTM put butterfly
SPX at 4196
I’m going to remove the 4280/4320/4370 put butterfly (as mentioned above) to completely remove risk out of the remaining trade.
This adjustment will leave me with 4185/4215/4230/4260 put condor
Order Ticket:
Risk Profile:
If want to get extra cute, we can roll the wings in for an additional credit.
This will shrink the size of the ‘tent’ or profit area but will also lock in most of the profit in this trade.
The bonus here would be a pin between short strikes at expiration
SPX at 4155
This trade has 18 days until expiration and the market is moving towards the profit zone area. I got a fill earlier today to close this trade for 2.25 CREDIT.
I will update the 30k allocation spreadsheet and post it here.
Risk Profile:
Closing Order Ticket:
30k Allocation Model update
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