The Week in Review
So this week was not terrible but not great either. The portfolio was down -0.66%. The ETF for the S&P 500, SPY, was down -2.98% and the ETF for the Russell 2000, IWM, was down -4.78% for the week. Monday and Thursday were mostly meh. Both Tuesday and Friday saw the S&P drop by close to 2%. Wednesday was the big fake out where the S&P was initially down big and then came all the way back and more to finish up for the day by more than half a percent. All this movement and VIX ends the week sitting at only 23.38? I guess it will take some bigger moves down to push volatility up any higher.
I didn't use the SPY hedge at all this week. I probably could have used it. Maybe next week.
Like last week, with volatility up, I decided to stay away from any VIX calendars. The Apr/May and May/June calendars are looking pretty reasonable. I'll probably be looking at them next week with the thought that volatility will move down or stay around this level.
The move down this week definitely caused me some pain on the Iron Condor with the debit spread. With the move down at the end of the week, I did add a debit spread to this position on Friday to help protect from more downside. For the week, this strategy subtracted 32 basis points from the portfolio.
I added another Broken Wing Butterfly on Friday. The strategy did take some heat this week with the move down. I'm not at an adjustment point yet for any of the expirations but we may get there if the market continues to move lower. This strategy subtracted 13 basis point from the portfolio this week.
At the beginning of the week, I added another set of Butterflies for the end of March expiration. They fared okay with the move down this week but the February expiration trades did not. Last week they were looking a little twitchy and I was hoping to bring them off this week. With the move down however, they will likely need to stay on longer but I'm not holding out much hope for these trades. I should have probably just closed them out. This strategy subtracted 20 basis points from the portfolio.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| Naked SPY Trending | 0.00 | 0.00 | -0.39 |
| VIX Calendars | 0.00 | 0.00 | -0.25 |
| Monthly RUT Iron Condor, DR spread, long put | -0.32 | -0.32 | -2.12 |
| SPX Broken Wing Butterflies | -0.13 | -0.13 | -5.68 |
| RUT Butterflies, IWM long call | -0.20 | -0.20 | -0.04 |
| TOTAL | -0.66 | -0.66 | -8.48 |