Scottsdale tastytrade Meetup July meeting Iron Fly

1. Iron Fly

2. 1. Market Measures: 4-23–15
“Fixed vs Dynamic Width of the Spread”
Video: http://ontt.tv/1Jy0Add
• Despite the higher buying power requirement, the dynamic
method substantially outperformed
• Dynamic method of choosing long strikes generated a 47%
increase in overall profitability
• Adapting to the market environment opposed to fix was the
optimal method

3. 2. Market Measures: 4-28-15
“Fixed vs. Dynamic | Part 2”
Video: http://ontt.tv/1IjVvaf
• By only placing the trades in high IV, 52 occurrences out of 222
(23%), using the dynamic method, we were able to achieve
differentials of:
• Profit Differential: +$3,175 (+132%)
• Win Rate Differential: +6%
• Biggest Loss Differential: Reduction of $365 (47%)

4. 3. Tasty Bites: 5-19-15
“Earnings | Dynamic Iron Flies”
Video: http://ontt.tv/1L5QqRY
• Positive P/L
• % Winners 64% (44/69)
• Low margin requirement
• Good ROC
• Available to IRA
• Can be moved from ATM to take a directional bias

5. The Setup
• May 2011 - Dec 2014 SPY
• First trading day of month sell 5 Wide Iron Fly at strikes
specific distance from current market price
• Close at expiration
• Review performance based on chosen distance from market

6. SPY Iron Fly $5 wide
Feb 2010 - Nov 2014 ATM +1 +2 +3 +4 +5 +6 +7 +8 +9 +10
Total profit -$186.50 $35.00 $91.50 $996.00 $1,881.50 $2,955.50 $3,392.50 $3,810.00 $3,385.00 $2,966.50 $2,243.00
Average return -$3.33 $0.64 $1.63 $18.11 $33.60 $52.78 $61.68 $70.56 $61.55 $54.94 $40.78
Average profit/day -$0.07 $0.01 $0.03 $0.39 $0.72 $1.13 $1.32 $1.51 $1.32 $1.17 $0.87
Percent winners 32% 40% 48% 49% 46% 46% 47% 50% 53% 44% 35%
Max loss -$192.50 -$225.50 -$240.00 -$175.00 -$170.50 -$147.50 -$127.50 -$113.00 -$106.50 -$104.50 -$86.00
Approx. ROC -1.7% 0.3% 0.7% 10.3% 19.7% 35.8% 48.4% 62.4% 57.8% 52.6% 47.4%
-1 -2 -3 -4 -5 -6 -7 -8 -9 -10
Total profit -$410.50 -$1,034.00 -$1,161.00 -$1,671.50 -$1,962.50 -$1,582.50 -$759.50 -$216.00 $345.00 $535.50
Average return -$7.46 -$19.15 -$21.11 -$30.39 -$35.04 -$28.26 -$13.56 -$3.79 $6.05 $9.39
Average profit/day -$0.16 -$0.41 -$0.45 -$0.65 -$0.75 -$0.60 -$0.29 -$0.08 $0.13 $0.20
Percent winners 29% 26% 26% 27% 16% 18% 14% 14% 16% 16%
Max loss -$199.50 -$142.50 -$126.50 -$112.00 -$109.50 -$152.50 -$96.50 -$77.50 -$60.50 -$54.00
Approx. ROC -3.7% -13.4% -16.7% -27.1% -32.0% -18.5% -14.1% -4.9% 10.0% 17.4%

10. Takeaways
• % winners lower than normal 1SD trade strategies
• study performed in bull market and benefits from positive drift
• low margin requirement, high risk/reward
• use as directional bias trade strategy

11. Questions?

12. DISCLAIMER:
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