Lot 2023-2
Update 10/30/2023: I exited my short iron butterfly spread on October 30, expiration day, for a $3.29 debit per contract/share, a profit before fees of $19 per contract. Shares were trading at $347.80, up $3.03 from the entry level.
The Implied Volatility Rank at exit was 56.1%, up 5.9 points from the entry level.
I exited on the first trading day after entry, which was expiration day, which is my normal practice for options position of short duration.
Shares rose by 0.9% over one trading day for a +107% annual rate. The options position produced a 5.8% return for a +703% annual rate.
I have entered an iron butterfly short iron fly on QQQ, using options that trade for the last time three days hence, on October 30, 2023. The premium is a $3.48 credit per contract share and the stock at the time of entry was priced at $344.77.
The Implied Volatility Ratio stood at 50.2%.
| Premium: | $3.48 | Expire OTM | |
| QQQ-iron fly | Strike | Odds | Delta |
| Calls | |||
| Long | 350.00 | 80.0% | 19 |
| Break-even | 348.48 | 64.5% | 34.5 |
| Short | 345.00 | 49.0% | 50 |
| Puts | |||
| Short | 345.00 | 50.0% | 51 |
| Break-even | 343.48 | 65.0% | 36 |
| Long | 340.00 | 80.0% | 21 |
The premium is 69.6% of the width of each of the short/long spreads. The profit zone covers a 11.1% move to the upside and a 0.4% move to the downside.
The risk/reward ratio is 0.4:1, with maximum risk of $152 and maximum reward of $348 per contract.
How I chose the trade. This is a new strategy I’m trying out, in near the close in one day at 1 day to expiration, out at the open on expiration day, direction neutral. I’ll write something about the strategy this weekend.
By Tim Bovee, Portland, Oregon, October 27, 2023
Disclaimer
Tim Bovee, Private Trader tracks the analysis and trades of a private trader for his own accounts. Nothing in this blog constitutes a recommendation to buy or sell stocks, options or any other financial instrument. The only purpose of this blog is to provide education and entertainment.
No trader is ever 100 percent successful in his or her trades. Trading in the stock and option markets is risky and uncertain. Each trader must make trading decisions for his or her own account, and take responsibility for the consequences.
License
All content on Tim Bovee, Private Trader by Timothy K. Bovee is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
Based on a work at www.timbovee.com.
Tim Bovee, Private Trader 
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