The Week in Review
Another week of big ups and downs and the portfolio handled it pretty well. Mostly, I didn't have to adjust anything until mid to late Friday with the monster move up. Arigato Bank of Japan!
Alright, so this time the hedge worked the opposite way and I'm still thinking about what to do with this strategy since it is not as well thought out as I would like it to be. It subtracted 9 bps from the portfolio this week.
Again, with volatility all over the place I left the VIX calendars alone. I'll look at putting something on when the VIX gets below 20.
The Iron Condor with debit spread went on this week for March expiration. It was put on with a little bit of positive delta and benefited from the move up and drop in volatility late in the week. It added 14 bps to the portfolio.
The SPX Broken Wing Butterflies did fine this week. I added a small one that expires in April. The strategy added 4 bps to the portfolio this week.
There are two RUT Butterflies on with a February and March expiration. The February ones are getting a little twitchy with expiration coming up in 3 weeks. I'd like to be out of them by the end of this week but we'll see how it goes. This strategy added 41 bps to the portfolio this week.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| Naked SPY Trending | -0.09 | -0.39 | -0.39 |
| VIX Calendars | 0.00 | -0.25 | -0.25 |
| Monthly RUT Iron Condor, DR spread, long put | 0.14 | -1.81 | -1.81 |
| SPX Broken Wing Butterflies | 0.04 | -5.57 | -5.57 |
| RUT Butterflies, IWM long call | 0.41 | 0.16 | 0.16 |
| TOTAL | 0.49 | -7.87 | -7.87 |