/GC (Gold Futures) Broken Wing Butterfly: 1/6/2015 & /CL (Light Sweet Crude Oil Futures) Iron Condor: 2/2/2015 Closing Trades + New /CL (Light Sweet Crude Oil Futures) Short Strangle: 2/24/2015

/GC Opening setup/trade & adjustment (Jan 6, 2015)

/GC was trading right around the max profit level of 1200.  However, I did not want any ITM legs to get exercised and be assigned the associated short or long futures position.  As such I sold the remaining regular butterfly (1210/1200/1190).
SOLD -1 BUTTERFLY /GCJ5 1/100 MAR 15 /OGH5 1210/1200/1190 PUT @3.00
Order

Profit = $140 (credit collected from opening trade) – $30 (debit for buying back the embedded short put vertical) + $300 (credit collect from closing out the remaining butterfly) = $410
Total commissions (opening & closing) = $37.10
Profit incl. commissions = 410  – 37.10 = $372.90


/CL Opening setup/trade (Feb 2, 2015)

Closing trade
BOT +1 IRON CONDOR /CLJ5 1/1000 APR 15 /LOJ5 60/61/40/39 CALL/PUT @.12
Debit = $120

Profit = $240 (credit collected from opening trade) – $120 = $120
Total commissions (opening & closing) = $29.68
Profit incl. commissions = 120  – 29.68 = $90.32


SOLD -1 STRANGLE /CLK5 1/1000 MAY 15 /LOK5 67/30 CALL/PUT @.43
Neutral bias
Order

Note: Commissions not included
Max. Profit = $430.00
Max Loss = $Infinite
Initial buying power reduction (BPR) =~ $1,100
Note: Unlike an Iron Condor the BPR for a short strangle can change drastically if the underlying makes a significant move either way.  Options on futures require low margin to start off with (use span magin).  The wings I bought were around a 5 delta (around 2 STD out each way).  However, this trade might require active management to keep deltas in check or the losses could be significant.
DTE = 52
BE = 29.57 & 67.43
POP =~ 63%
Max ROC  = 430/1,100 =~ 39%
Would look to take this off around 30%-40% of max. profit.

P&L diagram
Chart

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  1. Pingback: /CL (Light Sweet Crude Oil Futures) Short Strangle: 2/24/2015 Closing Trade + New /CL (Light Sweet Crude Oil Futures) Short Strangle: 3/5/2015 | Gen ROC

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