optimal point for profit taking

If it's an "immediate" (like 1, 2days on 30day dte) profit, isn't that vega/delta in a fly structure?

If the aim is for 25%, 15, 20% sounds great to me if it's done in 1/10 of the time...

On a KISS set and forget style, how about adjusting profit taking everyday/week?

 

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1]Good book + good chart;
except/ 11 weeks up in a bear rally/ sure possible??Its possible. LOL
2]Unless you have some real oil drilling options, like Mr Hunt[oil + silver ];[ 3rd friday stuff has another strike against you so to speak.
3]Strike 3 is no dividends, but thats a minor point, unlike my first 2 major points.
Stage 2 + 3 on that chart can easy go up more\ so a chart is not a prediction

 

Great question,and I wrestle with the same issue all the time..

I used to look at Delta/Theta,while also valuing the fly structure on my chosen flat vol to see if I had "edge"..

Nowadays,I look at Orats D%,common sense and gut feel...

Like you,I look at max gain vs max risk.

On short dated flys,I typically start scaling out at 25% of max gain,and rarely have much left at 50 percent..

As you may guess,I don't pay much for these structures,and on split strike flys I am quick to buy the imbedded short verticals..

Fwiw,I'm sure Des can offers some valuable insight..

 

makes sense and sounds simple in theory, but I fear that the actual calculation is going to be a pain

 

Oh I see.. thanks a lot for all the insight. When you say "split strike" you mean "skip strike"?

 

yes,skip a strike,and if I am feeling feisty and directional,I will buy the wing closer to the short strike as opposed to further away

 

Cover at Soy's max pain. Ofc you'll have to befriend the dude/bot.

 

I don't trade a lot of classic flies now, but say you're long upside flies (long delta).

Vol-corr: Are you marking down vol at neutrality (Sticky S)?
In index you have to account for sticky D, but skews are essentially locally-flat so not an issue.

It may be an idea to reduce the position a bit if you're up 2X theta (less delta gains).

 

Why 25%?

Why not more or less than 25%?

Is your expected profit 25% every time you open a trade?

 

haha well there is no profound reason.. I remember reading one of destriero's journals and he was aiming more or less for that level, so I just copied it. Intuitively, on a fly makes sense because getting to full payoff is possible only in theory..