The Week in Review
For a portfolio that is delta neutral, big moves up or down are usually rather painful. By Thursday of last week, the market was down over 5.5% month-to-date. By Friday of this week, most of that loss was made up with the market ending the week being down 0.9% month-to-date. A lot of the trades last week were stretched to the point where I would either have to close them out or make some adjustments but the move up last Friday and the general move up this week pushed a lot of those trades back in to positive territory. The portfolio ended the week up +1.23%. The ETF for the S&P 500, SPY, was up +2.88% and the ETF for the Russell 2000, IWM, was up +4.00% for the week.
With the big moves up this week, the portfolio was short delta every day. I closed out the hedge from last week and added another one this week to flatten the delta out a bit. The SPY hedge added 13 bps to the portfolio this week.
With big moves up, volatility usually drops and that's exactly what we saw this week. The VIX calendar spread added 7 bps to the portfolio this week. Currently, the spread is set up with a strike price of 30. With the VIX currently sitting around 20 I may consider moving the strikes down to 25 or so next week.
The Iron Condor with Debit Spread strategy really started contributing this week. All of the losses from earlier this month have been made up for with this week's action. It added 48 bps to the portfolio this week. There are probably about 2 weeks left in this particular trade before we end up putting on the April expiration.
The SPX Broken Wing Butterflies also came into their own this week adding 21 bps to the portfolio. I added another one this week and will likely add another 1x2 ratio at the beginning of next week.
The RUT Butterflies made up a good chunk of what was lost last week. They are still in the red for the month but I am hoping to make up more of what's left over by the end of next week. It all depends on whether or not the market decides to calm down or not...
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| Naked SPY Trending | +0.13 | +0.18 | -0.22 |
| VIX Calendars | +0.07 | +0.09 | -0.17 |
| Monthly RUT Iron Condor, DR spread, long put | +0.48 | +0.07 | -1.75 |
| SPX Broken Wing Butterflies | +0.21 | +0.05 | -5.53 |
| RUT Butterflies, IWM long call | +0.35 | -0.27 | -0.10 |
| TOTAL | +1.23 | +0.12 | -7.76 |