Saturday, May 13, 2017

Weekly Trade Summary: May 07 - May 13

Last week I entered two new SPX broken wing butterflies (July 14 and July 21 expirations), and adjusted the butterfly on the June 23 expiration. The activity is shown below:

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This is the second adjustment on the June 23 butterfly, and the associated trades are shown below:
  • Original Trade Entry: April 21 - BWB on the Jun 23 expiration (post)
(click to enlarge)
  • Adjustment: April 25 - added a second BWB on the Jun 23 expiration (post)
(click to enlarge)

I currently have 8 open trades, with expirations in May (1), June (3), and July (4):

(click to enlarge)

Total defined risk for these trades is at 60.6% of the account net liquidation value. This risk is broken down into the following groups:
  • 7.7% of net liq - DOTM BWB - hedges
  • 52.9% 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 8 open trades, 6 are core and all 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 may adjust trade #23, entered on 04/04/2017.  I will also likely enter a trade on the July 31 expiration.

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