Monthly results are below. This assumes a 50/50 allocation in both strategies.
1. Market Neutral Broken Wing Butterflies – primarily on SPX and Crude Oil futures
2. Volatility trades – focus on taking advantage of contango and backwardation
For the Market Neutral Broken Wing Butterfly trades, monthly profit and loss represents trades that were closed within that month. Since the Volatility trades will typically be longer term, I’ll use a monthly mark to market approach on the last day of each month for any trades that are open. That same price will be used as the opening price for the subsequent month.
Here are some more detailed statistics for the Market Neutral Broken Wing Butterfly trades.
Obviously, past performance is not indicative of future results. Trading strategies and the results given on this website are for informational purposes only.