The Week in Review
This week the portfolio did not do that well handling the drop on Wednesday and the big drive up on Friday. It was a weird week with the market moving down about 5% by the middle of Wednesday and then driving up by more than that drop by the end of the week. It was definitely a challenge for delta neutral trades. Essentially, it means I'll be in the trades longer than I would have liked in order to get my desired gain.
I did put on some naked SPY positions to hedge some of my overall portfolio delta. When the market zigged, the hedge zagged and I was able to add about 8 bps to the portfolio during the week.
With the volatility all over the place I did not put any calendars on this week. I will likely wait until it comes down some more.
The Iron Condor with the debit spread with February expiration was closed out at a loss last week. The March expiration trade will go on next week or the week after.
The two February Butterflies are still on and currently under water. They are both near their upper adjustment point and may require a little management next week if the market pushes higher. On Tuesday I added two March Butterflies and had to adjust one of them when the market moved on Wednesday. One of them is down and one of them is up as of this Friday. These trades subtracted 22 bps from the portfolio this week.
The Broken Wing Butterfly caused me some pain this week. After I adjusted it with the move down in the middle of the week, I removed the adjustment for a loss on Friday. I'll probably reduce my exposure to this expiration and plan to add a smaller trade on Monday with a further out expiration. This trade subtracted 31 bps from the portfolio this week.
Contribution to Return
The following table details how much each strategy added to or subtracted from the total portfolio return for the week-to-date, month-to-date and year-to-date.
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| Naked SPY Trending | 0.08 | -0.30 | -0.30 |
| VIX Calendars | 0.00 | -0.25 | -0.25 |
| Monthly RUT Iron Condor, DR spread, long put | 0.00 | -1.94 | -1.94 |
| SPX Broken Wing Butterflies | -0.31 | -5.60 | -5.60 |
| RUT Butterflies, IWM long call | -0.22 | -0.23 | -0.23 |
| TOTAL | -0.46 | -8.33 | -8.33 |