This forum is for students of the Bearish Butterfly trading strategy to share information.

Width of RUT BB wings

2 replies, 2 voices Last updated by Francois PETIT 2 years, 6 months ago
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    • #13961

      Francois PETIT
      Points: 91
      APM230 Day Affirmation Challenge
      Rank: Newbie

      Hello John

      Thank you very much for your clear and detailed reply.

      I will follow your advice and start trading the BB and M3 on the RUT with the standard parameters and guidelines.

      Afterwards I may do backtesting with other parameters.

      My goal is also to trade these strategies with other underlying assets, such as crude oil futures options for example.

      But first I have to learn the craft !

      Best regards




    • #13952

      John Locke
      Going to The Trading Triangle LIVE 2016Locke In Your Success CoachAPM2Trade JournalsUltimate Income Trader Workshop

      Hi Francois,

      We’ve been trading the Bearish Butterfly since 2007 and this is a very common question.We discuss the benefits and draw backs to changing wing widths in the Broken Wing Butterfly Master Track program.

      The short answer is that the width of the butterflies in the BB program remains at 50 points.

      With butterflies and/or condors “in general”, optimal wings size is much more dependent on volatility structure and/or what specifically the trader is trying to accomplish rather than the asset price. Therefore there are specific instances where wider (or narrower) wings may be beneficial, regardless of the asset price. The 50 point wing width remains a good “average” width the normal IV structure in RUT.

      For the Bearish Butterfly specifically there are multiple dynamics going on and 50 point wings with a 20 point scale in gives us a good combination of win rate, r/r ratio, and return on planned capital. Altering the wing width or the scale is speed will change that and the whole concept of the trade itself needs to be reevaluated with that type of change. And yes we have created guidelines those changes in order to create similar strategies for fund managers to use on different assets or for a specific purpose however for a generally simple, rules based strategy, designed to do well in the most common conditions, 50 points remains the most effective option on RUT.

      If you are new at this type of trading, I’d suggest sticking to guidelines but you’re relatively experienced and confident with this type of trading, I encourage you to experiment and share your findings


    • #13950

      Francois PETIT
      Points: 91
      APM230 Day Affirmation Challenge
      Rank: Newbie

      Hi everyone

      I am a newbie in the Locke in your Success community 🙂

      I am starting studying the Bearish Butterfly strategy as well as the M3.

      When looking at the training videos that were made several years ago I noticed the $RUT was much cheaper , especially in 2008-2009…

      But the width of the wings is still shown to be 50 points, which means the relative width (in %) is much lower now (a bit more than 3%).

      Shouldn’t we increase the width of the wings?

      Have some of you tried or backtested with an increased width?

      I would be glad to share ideas with you about this issue.

      Thank you very much







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