SPX Weekly Broken-Wing Put Butterfly

Every Monday at 10:00 ET this opens a broken-wing put butterfly on the SPX Friday weekly: buy 1 put 20 points below spot, sell 2 puts 50 points below spot, buy 1 put 90 points below spot. The lower wing is 10 points wider than the upper one. The structure usually costs a small net debit, which is what it loses if SPX rallies away; its larger risk sits below the short strikes (at most the 10-point wing difference, $1,000, plus the debit paid). The two long puts are bought first and the two short puts are sold right after. It exits at a Approx. $600 profit, a Approx. $1,200 loss, or 15:30 ET on expiry day (or at the next session if a shortened expiry day closes before then). 1-2-1 contracts. Capital per multiplier: $2,600, the broker margin for one set: the 10-point wing difference ($1,000) plus the net debit, which reached about $1,500 in volatile weeks. Times are US Eastern daylight time; from November to mid-March Tradetron's US clock (fixed UTC-4) runs one hour early, so the same rules fire one hour earlier Eastern (entry at the 09:30 open, exit an hour before the stated time).

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