The Week in Review
This was kind of a frustrating week for me. The portfolio was down slightly and the overall market was up. The portfolio ended the week down -0.10%. The ETF for the S&P 500, SPY, was up +1.59% and the ETF for the Russell 2000, IWM, was up +2.72%.
With another up week, the hedge was again trying to remove some of that negative delta. The SPY hedge added 16 bps to the portfolio this week.
I decided to leave the VIX calendars where they are and not move them. They added 1 bp to the portfolio this week.
The Iron Condor and Debit spread strategy was pretty quiet this week. It's got maybe one more week left in it before it gets taken off and the April expiration gets put on. It added 6 bps to the portfolio this week.
The SPX broken wing butterflies were also pretty quiet this week. I'm still adding to the position and don't expect any huge gains from this strategy if the market keeps going up. It works best in a moderate downturn. It added 7 bps to the portfolio this week.
And finally, the RUT butterflies really crapped out this week. I left them alone too long with the move up on Thursday and lost some of the unrealized gains. Oh well, they'll have to stay on longer than I had hoped. They subtracted 41 bps from the portfolio this week.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| Naked SPY Trending | 0.16 | 0.35 | -0.06 |
| VIX Calendars | 0.01 | 0.10 | -0.16 |
| Monthly RUT Iron Condor, DR spread, long put | 0.06 | 0.13 | -1.69 |
| SPX Broken Wing Butterflies | 0.07 | 0.12 | -5.46 |
| RUT Butterflies, IWM long call | -0.41 | -0.68 | -0.49 |
| TOTAL | -0.10 | 0.02 | -7.86 |