Mastering the Time Flies Options Strategy: A Year in Review

Summary

Simon Black's 'Time Flies' options strategy, a delta-neutral, short-term approach averaging less than six days per trade, has shown consistent profitability, with the creator reporting a nearly 40% gain in just four months this year, mirroring his success from the previous year. The strategy combines a put diagonal below the market with a call broken-wing butterfly above it, aiming to profit from minimal market movement and benefit from volatility expansions. Black prefers trading the Russell 2000 index due to its favorable curve and wider range, though the strategy can be applied to other instruments. Key to success is achieving a 'perfect curve,' which looks round and balanced, indicating a delta-neutral position. Traders are advised to exit positions at least 24 hours before expiration to avoid the volatility of the final trading day, and to take profits between 10-20% of buying power. While adjustments are possible, particularly with calendars for downside protection, they are not always necessary, and a conservative approach to capital allocation is recommended. Black rates the strategy a four or five on a risk scale of one to ten, emphasizing its defined-risk nature, and has maintained a high win rate, with roughly 15-20% of trades requiring adjustment.