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DTBhat

9 تغريدة 95 قراءة Sep 29, 2023

#BankNifty IronFly initiated on 26Sep23 at round 09:40 at 44700 strike with 1000 points away wings
Reason for 1000 points away wings -
* Since it is only 3 DTE the plan was to gain maximum theta decay in straddle intraday and bring the wings inside by EOD.

At 15:15 the strategy was in a profit of about 50 points. Decided to bring the wings inside by 600 points. Payoff looked like this at 15:15 and at EOD

Day 2 payoff at open.
BN was falling and after 10:15 decided to initiate a broken wing fly at 44200 with PE wing at 400 points away (total premium about 400) Payoff pre and post adjustments
1) Shifted 44300PE leg inside by one strike
2) Initiated BWFLY

BN was reversing and loss was increasing. Added missing CE wing at 11:16 and also exited 43800PE. Bought 42000PE as far OTM hedge

At 12:28 payoff was like this.
Shifted 44200 straddle to 44300
Bought wings 43900PE and 44900CE
Naked selling 44000PE
Intraday short straddle at 44700
Before EOD covered 44000PE and Sold 44200PE (double qty) and 45000CE
Payoff at EOD is below

On Expiry day payoff at Open
By 10:30 exited extra sell legs and payoff is below Plan was to reduce risk and make the strategy riskfree progressively.

At 11:30 on expiry day strategy had two iron flys
44700 strike wings at 44400PE and 44900CE
44300 strike wings at 43900pe and 44600CE
Spot was almost at the center of the bridge
Adjusted the wings to make it symmetrical.
Strategy became risk-free with max profit 72k and min 12k