SPX Double Butterfly Pins 2075

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Jan Trading Results

Very occasionally you have a trade that works out exactly as planned.

With SPX basically trading sideways for two weeks, last Friday I figured it was a good time to try a weekly double butterfly trade. This trade is detailed in my butterfly book available from Amazon.

Here’s how it works. On Friday 14th with SPX trading at 2039, we opened two weekly butterflies. A put butterfly centered at 2000 with 25 point wing and a call butterfly centered at 2075 also with 25 points wings.

weekly SPX double butterfly

The trade is a set and forget trade. There are no adjustments and given SPX is cash settled we hold it into expiry on Friday 21st.

There is no risk of early assignment as the options are European style.

Given SPX had been flat for two weeks I figured over the course of the trade the index was fairly likely to move 1-2% in either direction. I didn’t really know which direction and I didn’t care.

weekly double butterfly

Thursday at 4:15 is the last day to trade SPX weekly options with settlement on Friday morning. On Thursday SPX closed at 2048.72 and it looked as though the trade might be a bust.

Friday saw another round of stimulus and futures spiked before the open.

The SPX settlement value is listed on the CBOE website around 10:30 – 11:00 and this week it came in at 2075.42.

SPX Settlement

What did that mean for our weekly double butterfly trade?

The put butterfly expired worthless. The call butterfly hit it right on the money. Here’s how the settlement played out:

SPX weekly double butterfly

The two butterflies cost us $650 to put on, leaving total P&L of $1808.

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  1. mike says:

    That’s nice but how often do you think you can get that lucky ?

    1. Gavin says:

      It was certainly a lucky trade and not something I would expect to happen every time.

  2. Parth says:

    Hi Gavin, Thank you for the Butterfly Trading Course. After backtesting weekly double butterfly on SPX based on your course I came to the conclusion that the only drawback of this system is when the SPX will close between the call butterfly and put butterfly.

    So my actual question to you is what should be the adjustment in the above case?

    1. Gavin says:

      Hi Parth,

      The trade is meant to be a “set and forget” trade, so it either works or it doesn’t. There aren’t any adjustment guidelines on this one.

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