The Week in Review

The market was a little quieter this week making it easier to make some money. Although it is still frustrating to watch the market zoom higher while I feel like I am just plodding along. The portfolio ended up +0.50% for the week. Not bad, but not great either. The ETF for the S&P 500, SPY, was up +1.16%, and the ETF for the Russell 2000, IWM, was up +0.45%. The SPY is almost back in the black for 2016 whereas the IWM is still close to 4 percentage points under water. One other thing to note is that I have mixed up the strategies a bit in the portfolio. I've added a put write strategy to the SPY portion and added some not so delta neutral RUT Iron Condors and Butterflies. The RUT strategies now contain both delta neutral and non delta neutral strategies. Overlaying the entire portfolio is a small SPY hedge that either adds or removes delta depending on how the portfolio is leaning. It doesn't remove all of the delta but it does soften the blow a bit if the market moves too far in one direction.

The move up this week was good for the SPY Put Write and Delta Hedge. The portfolio was short delta for much of the week and the short puts in the SPY worked well with the market move. This week, it added 35 bps to the portfolio.

Again, I decided to leave the calendars alone. They subtracted 1 bp from the portfolio this week.

The SPX strategies were pretty flat from a delta perspective this week. The ones that were longer delta helped add 23 bps to the portfolio this week.

The RUT Iron Condors fared well this week. The April Iron Condors were adjusted and the new April Iron Condors with a Debit Spread were opened this week. They added 23 bps to the portfolio.

The RUT Butterflies gave me some trouble this week. I'm hoping the addition of the bearish butterflies balances out the delta neutral butterflies with the call. However, this will likely give me trouble in an extended and strong bullish market. This week, they subtracted 29 bps from the portfolio.

Contribution to Return

STRATEGY WTD MTD YTD
SPY Put Write and Delta Hedge 0.35 0.92 0.68
VIX Calendars -0.01 -0.04 -0.19
SPX Broken Wing Butterflies and Ratios 0.23 1.02 -5.00
RUT Iron Condors 0.23 -0.08 -1.66
RUT Butterflies -0.29 -2.41 -2.64
TOTAL 0.50 -0.59 -8.80

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