Sunday, May 7, 2017

Weekly Trade Summary: Apr 30 - May 06

Last week I entered one new SPX broken wing butterfly in the July 7 expiration. The activity is shown below:

(click to enlarge)

I currently have 6 open trades, with expirations in May (1), June (3), and July (2):

(click to enlarge)

Total defined risk for these trades is at 44.9% of the account net liquidation value. This risk is broken down into the following groups:
  • 7.8% of net liq - DOTM BWB - hedges
  • 37.1% of net liq - core BWB
21 trades have been closed this year...13 wins and 8 losses. Return on the account for the year is at 3.50%.  Total win rate is at 62%.  The win rate on the core trades is at 68% and at the low end of the expected range. Of the 6 open trades, 4 are core and 2 of the core trades are currently up money.

I ran 10, 10 year backtests on my deep out of the money broken wing butterfly hedges.  While they can work as a decent hedge if timed properly, over time they appear to lose money using my trading approach.  I will phase out this style of hedge in the next few weeks.

Next week I plan to adjust trade #26, entered on 4/21/2017.  I will also likely enter trades on the July 21 expiration and the July 14 expiration.

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