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SPX at 3991
This is a broken wing put butterfly, centered at 3980
I’m buying a 4030/3980 put debit spread and I’m selling a 3980/3920 put credit spread.
This trade is going for a 0.20c credit.
We have no risk on the upside.
Downside risk is the difference between the widths of the spreads (10 points) – credit collected.
The difference between 3980/3920 spread and 4030/3980 is 10 points. So the risk is $1,000 – $25 credit or $975 per 1 butterfly.
We’re looking for a profit target of 10% ROR or 9.75 * .10 = 0.975
I will make adjustments on the downside below 3930 and on the upside above 4080
Risk Profile:
Order Ticket:
SPX at 3907
We’re below downside breakeven and I need to bring my NET delta back to flat
A 10 lot butterfly is currently -7 delta
Buying (2) of 31MAR 3950/3920 Put Debit spread will cut my NET delta close to 0
Risk Profile:
Order Ticket:
SPX at 4039
Now we’re outside of the tent on the upside.
My NET delta is now -4
I’m going to roll 1/2 of my long 4030 puts down 5 points and this should get my NET delta back to flat.
Risk Profile:
Order Ticket:
SPX at 4061
I’m going to roll the second 1/2 of the long 4030 puts down to 4025
Risk Profile:
Order Ticket:
SPX at 4185
Time to make another adjustment
Risk Profile:
Order Ticket:
SPX at 3862
This trade is going to expire in 16 days and I’m going to stop out here
Risk Profile:
Order Ticket:
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