Symbols traded today: Short Iron Fly positions QQQ and XSP, both 1DTE.

I entered the two positions a day before expiration as overnight trades. I exited each for a loss shortly after the opening bell on January 17. The short Iron Fly strategy for 1DTE trades is based on declining volatility. For each of these symbols, the Implied Volatility Rate (IVR) rose sharply. My rule of thumb for 1DTE trades using the short Iron Fly is that the IVR must be 20 or below. QQQ and XSP no longer qualify for the strategy

QQQ short Iron Fly

LOT:	1	ENTRY DATE:	1/16/2024
		EXIT DATE:	1/17/2024
		DAYS HELD:	1

Entry and Exit

METRIC	CREDIT	DEBIT	CHANGE	CHANGE %	ANNUALIZED CHANGE %
Options premium	$ 2.27	$ 3.04	$ (0.77)	-25.3%	-9194%
METRIC	ENTRY	EXIT	CHANGE	CHANGE %	ANNUALIZED CHANGE %
Stock price	$ 408.28	$ 404.97	$ 3.31	-0.81%	-296%
Impllied Volatility Rate	18.8	27.7	8.9
Days to expiration	1

The structure of the position

STRUCTURE	STRIKE	ODDS EXPIRE OTM	DELTA	IN PRICE	OUT PRICE	CHANGE
Calls
Long	412.00	84%	17	$ (0.32)	$ 0.03	$ (0.29)
Break-even	411.27	64%	36.5
Short	409.00	44%	56	$ 1.18	$ (0.18)	$ 1.00
Puts
Short	409.00	44%	56	$ 1.85	$ (4.19)	$ (2.34)
Break-even	407.27	62%	37.5
Long	405.00	80%	19	$ (0.44)	$ 1.30	$ 0.86
						======
					NET TOTAL:	$ (0.77)

Risk and Reward

Per contract:
Reward	227.00
Risk	123.00
R/R Ratio (n:1)	0.5

---

XSP short Iron Fly

LOT:	4	ENTRY DATE:	1/16/2024
		EXIT DATE:	1/17/2024
		DAYS HELD:	1

Entry and Exit

METRIC	CREDIT	DEBIT	CHANGE	CHANGE %	ANNUALIZED CHANGE %
Options premium	$ 1.92	$ 2.21	$ (0.29)	-13.1%	-4763%
METRIC	ENTRY	EXIT	CHANGE	CHANGE %	ANNUALIZED CHANGE %
Stock price	$ 476.24	$ 473.26	$ 2.98	-0.63%	-228%
Impllied Volatility Rate	16.2	24.9	8.7
Days to expiration	1

The structure of the position

STRUCTURE	STRIKE	ODDS EXPIRE OTM	DELTA	IN PRICE	OUT PRICE	CHANGE
Calls
Long	479.00	81%	19	$ (0.34)	$ 0.02	$ (0.32)
Break-even	477.92	65%	36.5
Short	476.00	49%	54	$ 1.43	$ (0.23)	$ 1.20
Puts
Short	476.00	53%	46	$ 1.15	$ (2.91)	$ (1.76)
Break-even	474.92	68%	32
Long	473.00	83%	18	$ (0.32)	$ 0.91	$ 0.59
						======
					NET TOTAL:	$ (0.29)

Risk and Reward

Per contract:
Reward	192.00
Risk	108.00
R/R Ratio (n:1)	0.6

By Tim Bovee, Portland, Oregon, January 16-17, 2024

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.