I took my SPX broken wing butterfly into expiration tomorrow morning. SPX closed 8.24 points above my upper long put so an opening print of -10 to -30 would be the ideal price. ES futures have been selling off so that could happen. It's still too early to tell.
I wanted to get short delta as I felt the market wanted to sell off. I bought two long ES futures options about 17 points out-of-the-money in the SEP expiration at 1950 for $18.00. Less than an hour later, the 1945 SEP puts were selling for $18.25 so I sold two, netting +$0.25 on the trade and creating a riskless position. (NOTE: There is no such thing as a riskless position unless you have a completely flat risk chart. I simply am re-investing the unrealized profit).
After I sold the two 1945 puts, I wished I had something to take advantage of a market sell off so I decided to short two ES futures contracts. I was filled at 1953.50.
The market sold off a little but came back so I sold two more futures, also at 1953.50. Now I am short four contracts. The current price is 1949.50 so they are +$1,000 but they trade all night so I put a STOP LIMIT at 1953.00 in case the market shrugs off the bad news and rallies while I'm sleeping. That will lock in a small profit (about $90 after commissions)
Here's a video I made going over the trades.
Enjoy the video! Join us in the forums to ask questions about the trades I'm doing.
Tom
