The Week in Review
A nice quiet start to the week helped add to the portfolio gains early in the week but the continued push up in the latter half of the week took away much of the gains. That being said, we were still able to add value with the portfolio gaining +0.82% for the week. The ETF for the S&P 500, SPY, was up +1.32% and the ETF for the Russell 2000, IWM, was up +1.30%. The S&P 500 turned positive for the year whereas the Russell 2000 is still waiting to break even. The portfolio is leaning bearish medium term with a shorter term bullish hedge. It will be a long slog back to profitability for the year but I'm confident we'll get there.
The continued move up this week was again good for the SPY Put Write and Delta Hedge. This week it added 30 bps to the portfolio.
Volatility continued to come out of the market this week. Rather than moving the calendars, I sold a couple of the May calls. If volatility moves up in April, there is room to make some more on this trade. Right now, I've locked in our current gains. This week, the VIX calendars added 4 bps to the portfolio.
I had to adjust some of the Broken Wing Butterflies because they were getting too short delta. By pulling in some of the calls, I was able to flatten out the delta again. This strategy added 27 bps to the portfolio this week.
The Iron Condors held up fairly well this week. The overall position is leaning short delta and I don't know how if the trades will be able to hold on much longer if the market continues upwards. This week, they added 5 bps to the portfolio.
The Butterflies were challenged this week. With two bearish positions and two delta neutral positions, the strategy benefitted most from the reduction in volatility. They held up fairly well and added 16 bps to the portfolio.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.30 | 1.22 | 0.98 |
| VIX Calendars | 0.04 | 0.00 | -0.15 |
| SPX Broken Wing Butterflies and Ratios | 0.27 | 1.29 | -4.76 |
| RUT Iron Condors | 0.05 | -0.04 | -1.63 |
| RUT Butterflies | 0.16 | -2.26 | -2.50 |
| TOTAL | 0.82 | 0.22 | -8.05 |