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RUT at 1486
We burned 28 days in this trade and never had a chance to scale up, which is fine.
Closing out this trade for a small win is a great way to keep chipping away at it and we’ll look to set up new trade with more time to expiration.
Order Ticket Type Asset Duration Strike C/P STC RUT 16OCT 1590 PUT BTC X2 RUT 16OCT 1530 PUT STC RUT 16OCT 1460 PUT Total Credit: 9.60 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 SPX at 3283
I’m going to sell an OTM put spread with about 75% Probability of Profit.
I’m selling 23OCT 3150 put and buying 3140 put for a NET credit of $2.20
I will look to stop this trade out if SPX breaks below 3150, which will result in about 1X credit loss.
Order Ticket Type Asset Duration Strike C/P Sell To Open SPX 23OCT 3150 PUT Buy To Open SPX 23OCT 3140 PUT Total Credit: 2.20 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
RUT at 1732
I’m going to enter a new Scaling Income Butterfly with 63 days until expiration.
I will start by placing a 70X60 broken wing put butterfly about 10 points below the market. I will add (2) more butterflies as RUT trades higher and I will look to exit and re-position WHEN/IF RUT trades below break-even on the downside.
I will add the next butterfly when RUT crosses 1760-1770.
RUT at 1781
I’m going to add another put butterfly, same 70×60 structure and I am placing my short strike 40 points above the short strike of the last butterfly (tier 1).
This adjustment will widen the tent and scale this trade to 2/3.
Order Ticket Type Asset Duration Strike C/P BTO RUT 15JAN 1820 PUT STO X2 RUT 15JAN 1760 PUT BTO RUT 15JAN 1690 PUT Total Debit: 5.4 RUT at 1815
We’re going to add 3rd put butterfly. We’re going to position this butterfly 40 points above last butterfly and use the same width as the last two rounds (70×60).
The next adjustment point on the upside is WHEN/IF RUT crosses 1850.
RUT at 1850
I’m going to add the 4th Tier and the next adjustment will trigger a roll sequence. I will roll the lowest of 4 butterflies 40 points above the highest of 4 butterflies and I will keep the same 70X60 structure.
On the downside, I will look to scale down IF/WHEN RUT trades below 1750
