#Butterflies
4 public posts on this topic.
Record
Max pain and the butterfly on expiration day — I close while price passes the center
On August expiration, max pain landed within 4 points of the close, and with my center 110 points below it that was exactly why the position went to zero. Three others aimed at the same expiration followed max pain instead, and that number was 218 points wrong. Seven positions, written down.
Theory
I took the certain gain instead of the maximum one
Price was bouncing off the low, the position had already traded above 10 and come back, and the full debit was on the table. Watching how fast price was walking past the center, I closed two hours ahead of my own rule.
Theory
I drew the butterfly curve as it sharpens
In the morning it barely matters where you center it — every strike prices about the same. By the close, the value collects on one point. Here is how that curve actually changes, and how I picked the center.
Theory
I open the butterfly before price arrives — the same fly cost 3.5× more five hours later
By the time I am confident, it is already expensive. One day's record of how entry timing changed the required win rate by 3.5×.
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