The Week in Review
This was another strong week for the markets and a ho hum week for the portfolio. The portfolio was up +0.16% for the week. The ETF for the S&P 500, SPY, was up +1.87% and the ETF for the Russell 2000, IWM, was up +3.65%.
The move up was good for the SPY Put Write and Delta Hedge strategy. This strategy added 38 bps to the portfolio this week.
I feel like the VIX Calendars strategy is the neglected ugly step child who gets no love. With volatility this low, I will look at putting on a put calendar about 30 days out trying for a credit of about $0.50. This strategy did zilch this week.
The SPX Broken Wing Butterflies were their consistent selves this week. They add a little bit in an up market and in a slightly down market. They do the best in a sideways market and get stomped in a fast moving down market. This week they added 18 bps to the portfolio.
The RUT Iron Condors held up fairly well even with the relentless up move. I took off the call side of the Apr expiration and some of the calls of the May expiration. The Jun expiration was put on this week. This strategy subtracted 4 bps from the portfolio this week.
The RUT butterflies were the big loser this week. This strategy was sitting bearish as of the end of last week and were doing well with the market doing pretty much nothing on Monday. I had one Apr trade that had reached my target profit but I wasn't paying attention and I saw all of that gain evaporate on Tuesday when I closed it out with next to no gain. Oh well, that'll teach me...maybe. This strategy subtracted 37 bps from the portfolio this week.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.38 | 0.17 | 1.33 |
| VIX Calendars | 0.00 | -0.01 | -0.14 |
| SPX Broken Wing Butterflies and Ratios | 0.18 | -0.04 | -4.50 |
| RUT Iron Condors | -0.04 | -0.16 | -0.90 |
| RUT Butterflies | -0.37 | -0.07 | -1.52 |
| TOTAL | 0.16 | -0.11 | -5.72 |