The Week in Review
Volatility still seems to be the one constant in this market. While Tuesday and Wednesday were pretty calm, Monday, Thursday and Friday had big moves. The portfolio was down -0.45% for the week. The ETF for the S&P 500, SPY, was down -0.70% and the ETF for the Russell 2000, IWM, was down -1.48% for the week. Not bad but not great either. I need to start making some gains in the portfolio.
I did end up putting a small hedge on at the beginning of the week to help smooth out the delta of the portfolio. I'll need to review it and reposition it before February expiration. It ended up adding 6bps to the portfolio this week.
Volatility moved up this week and I put on Apr/May 30 Call calendar. The thinking is that this trade will make money as the spread between the Apr and May option increases when we get closer to Apr expiration. The VIX calendar spread added 2bps to the portfolio this week.
The Iron Condor with Debit Spread strategy suffered somewhat early in the week but came back strong with Friday's big move up. With the overall market down for the week, this trade was also down for the week. It ended up subtracting 8bps from the portfolio this week.
I added a couple of 1x2 ratios this week. The ratios should help insulate the portfolio from a moderate downturn. Provided the market does not take a big turn downwards, these ratios should provide a little bit of downside protection while the other broken wing butterflies get closer to expiration. This strategy subtracted 3bps from the portfolio this week.
With the move down on Monday, I ended up closing the February trades for a small loss. I also had to end up adjusting some of the other trades on Monday. They are well positioned now but it did end up costing me 41bps this week.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| Naked SPY Trending | 0.06 | 0.06 | -0.34 |
| VIX Calendars | 0.02 | 0.02 | -0.24 |
| Monthly RUT Iron Condor, DR spread, long put | -0.08 | -0.40 | -2.19 |
| SPX Broken Wing Butterflies | -0.03 | -0.15 | -5.69 |
| RUT Butterflies, IWM long call | -0.41 | -0.62 | -0.43 |
| TOTAL | -0.45 | -1.10 | -8.89 |