On Friday, 2nd September, the ViX was quite high at 19.55 in view of the Jobs report which was due to be presented that night in the USA.
So, I deployed an Iron Fly in the Bank Nifty. I chose the 15th September expiry so that I would have enough room to maneuver if things go haywire.
The spot is at 39400. The Break Evens are quite wide at 38950 (-2.1%) and 40400 (+2.5%).
Hopefully, if the ViX cools down and there is no aggressive movement on either side, I can take home a packet.
(https://rakesh-jhunjhunwala.in/test/uploads/BankNifty-IronFly-030922.jpg)
The Iron Fly was in good profit of about Rs 60000 till yesterday. However, today's 750 point surge in the Bank Nifty spoilt the show and led to a MTM loss of about Rs 27000. The spot is at 40200 while the Breakeven is at 40400. The best option is to square off the Fly and open a new one at the spot.
The Bank Nifty opened gap-up at 40500, putting my Iron Fly into a deep loss of Rs 1 Lakh. I added a straddle at 40500 which extends my BEP on the upside to 40873. If there is some retracement, the Iron Fly will be back in the green.
(https://zerodha.trade/zerodha-uploads/Iron_Fly_090922.jpg)
There is a relentless surge in the Indices. The Bank Nifty crossed 40600. So, I squared off 39500PE and shifted to 40600PE. This extends the BEP to 41000.
(https://zerodha.trade/zerodha-uploads/Bank_Nifty_ironfly_120922.jpg)
The Bank Nifty is very bullish and has crossed 40800. My position is at a no-profit no-loss stage. My options are:
(i) Stay with the position until 41000 is reached.
(ii) Book profits in the 40500 straddle and the 40600 short call. Open a new straddle at 40800 or 40900.
(iii) Square off all positions and open a new Iron Fly at the spot.
(https://zerodha.trade/zerodha-uploads/banknifty_ironfly_130922.jpg)
The Bank Nifty came close to touching the 41000 mark. So, I squared off the puts at 40500 and 40600 and shifted them to 41000PE. This has extended the BEP on the upside to 41300.
(https://zerodha.trade/zerodha-uploads/banknifty_ironfly_130922_-2.jpg)
The Bank Nifty opened gap down about 600 points but fortuitously almost immediately recovered. This saved me because my 41000 Puts were bleeding. I also had some naked positions. Anyway, I decided to square off and take new positions.
(https://zerodha.trade/zerodha-uploads/banknifty_ironfly_130922_-3.jpg)
The IV is high. Tomorrow is the expiry. So, I set up a new Iron Fly with 40800 as the straddle.
(https://zerodha.trade/zerodha-uploads/banknifty_ironfly_140922_-4.jpg)
The Iron Fly got into trouble from the very start because the Bank Nifty surged to 41600. To salvage the situation, I added a straddle at 41300 and also moved the 40800PE to 41300. When even this BEP was at risk, I added a Call Calendar of 41400CE Sept and 41800CE of 15th Sept.
(https://zerodha.trade/zerodha-uploads/BankNifty_150922.jpg)
After breaching the ATH of 41800, the Bank Nifty took a breather and plunged to 41100. At the present level, my Iron Fly is in a profit. It is best to sqaure off because there are too many positions and it is not manageable if there is a sudden move either way.
(https://zerodha.trade/zerodha-uploads/BankNifty_150922-2.jpg)