Opening (Margin): SPX January 17th 3705/2 x 3735/3755 BWB*

... for a 1.45 credit.

Comments: Doing something a little bit funky here for me, targeting the current zero gamma level at around 3935 with my short options and erecting my longs out from there.

Metrics: 1.45 credit on buying power effect of 8.55 with a max profit potential of 21.45. Delta 1.18; theta 4.46. A "perfect landing" would be at 3735 at expiry, but will take profit quickly if the opportunity presents itself. (Hitting a "perfect landing" is extremely rare, since it needs to be right at short put strikes right at expiry).

* -- Broken wing butterfly. The 3705/3735 side is narrower than the 3735/3755 side to create a profit zone without any upside risk.

Comment:

A small note on the way to structure these: Start by looking at selling the "body" of the butterfly (the short puts) around the 20 delta strike and erect the wings with the put side spread twice the width of the call side spread. Adjust the setup as necessary so that you're routing for a credit that is around 10% of your buying power effect. They're probably best put on in weakness, since the setup will benefit from a move away from the setup (i.e., up) and a volatility crush.

Example: SPX Feb 17th 3490P/-2x 3590P/3640P (100 wide on the put side, 50 on the call), paying 4.90 at the mid on BPE of 45.20.

Narrowing the wings will naturally lower the BPE: SPX Feb 17th 3475P/-2 x 3545P/3580P (70 wide on the put side, 35 on the call), 3.60 credit on BPE of 31.47.

Trade closed manually:

Out here for a .95 debit. .50 ($50) winner with 13 days to go.