A beautiful theory struck down by annoying data

The million-dollar traderbot needs work:

ES,SLD,1,3364.75,11:51:57,20200218,GLOBEX,U354...,,
ES,BOT,1,3365.25,11:52:21,20200218,GLOBEX,U354...,,,
ES,SLD,1,3364.75,11:52:26,20200218,GLOBEX,U354...,,,
ES,BOT,1,3365.25,11:54:41,20200218,GLOBEX,U354...,,,
ES,SLD,1,3364.75,11:54:46,20200218,GLOBEX,U354...,,,
ES,BOT,1,3365.25,11:55:06,20200218,GLOBEX,U354...,,,
ES,SLD,1,3364.75,11:55:11,20200218,GLOBEX,U354...,,,
ES,BOT,1,3365.25,12:04:12,20200218,GLOBEX,U354...,,,
ES,SLD,1,3364.25,12:08:01,20200218,GLOBEX,U354...,,,
ES,BOT,1,3365.25,12:10:11,20200218,GLOBEX,U354...,,,
ES,SLD,1,3364.75,12:11:11,20200218,GLOBEX,U354...,,,

(just an excerpt)

I consider the opposite set of risks (gaps, blow-out moves) but not this one: grinding back and forth around the strike price.

I think there may still be a way to make this work but I need more data to test with. I'll report back when I have an answer on that.

In the meantime I put on two limited-risk trades:

/GC: short 1675 call, long 1680 call
         short 1555 put, long 1550 put

/ES: short 3380 call, short 3380 put
        long 3500 call, long 3095 put

Both of these should work; the /GC price has really spiked the past couple of days but still is 30 points below our short call.

And the /ES price is down to 3338.25, but that's still well within the space to turn this iron butterfly profitable as soon at the current volatility strike relaxes a bit.

Overall: down 9.9% for the week, about 7% on the traderbot problem and 2.9% on the temporary volatility spike. I'm expecting to be back close to breakeven by next Friday ...

Why this volatility all of a sudden? Maybe the centrist trauma over the election:

More next week!