The Week in Review

There were three days this week where the S&P 500 moved more than 1%. This made for a fairly decent environment for the portfolio. The ETF for the S&P 500, SPY, was down -1.17% and the ETF for the Russell 2000, IWM, was down -1.81%. The portfolio, leaning slightly short delta, ended the week up +0.65%.

With the market moving down, the SPY Put Write and Delta Hedge didn't exactly shoot the lights out this week. With the market moving down slowly and the rest of the portfolio mostly bearish, the bullish hedge did not lose enough to flip it to a bearish delta hedge. I was able to pick up some theta over the past week to limit the damage. The strategy subtracted 9 bps from the portfolio.

VIX Calendars....nothing to see here.

The SPX Broken Wing Butterflies strategy didn't do very much all week. Even though the strategy is designed to do well with the market moving down slightly, volatility jumped up a bit and likely hurt it a bit. No big deal. The strategy subtracted 13 bps from the portfolio this week.

The RUT Iron Condors strategy did well this week. A new May trade was opened this week. The strategy was leaning short delta last week it just ate up the down move in the market. Right now it is slightly positive delta. A stronger move down next week will require adjustments. The strategy added 38 bps to the portfolio this week.

The RUT Butterflies strategy also ate up a lot of that market down move. It's still leaning short delta and one of the April butterflies is still open and has to come off next week. A small move down next week will really make that April trade sing. Otherwise, I run the risk of losing some of the gains I made this week. This strategy added 51 bps to the portfolio this week.

Contribution to Return

STRATEGY WTD MTD YTD
SPY Put Write and Delta Hedge -0.09 0.08 1.24
VIX Calendars -0.02 -0.03 -0.15
SPX Broken Wing Butterflies and Ratios -0.13 -0.17 -4.64
RUT Iron Condors 0.38 0.23 -0.54
RUT Butterflies 0.51 0.44 -1.03
TOTAL 0.65 0.54 -5.11