The Week in Review
Ho hum, market up again. This portfolio? Not so much. The portfolio is definitely getting stretched, leaning heavily negative delta. It could definitely use a small move down next week or at least a break in the relentless move up. Whatever happens next week, I'll deal with it and have to adjust. We play with the hand we're dealt. The portfolio was up for the week 0.16%. The ETF for the S&P 500, SPY, was up 1.61%, and the ETF for the Russell 2000, IWM, was up a scorching +3.06% for the week.
Market moves up, SPY Put Write with Delta Hedge does well. This week the strategy added 28 bps to the portfolio.
For the VIX Calendar strategy, this week was again a quiet one. I tried to get a trade on near the end of the week but the prices weren't where I wanted them to make sense from a risk/return standpoint. We'll try again next week.
The SPX Broken Wing Butterflies and Ratios strategy did well this week. Last week, this strategy had some trouble dealing with the small move down. This week, it gained it all back and more and added 47 bps to the portfolio this week.
The RUT Iron Condors were fairly quiet this week. I had to remove one of the call spreads to flatten out the delta on one of the May trades and on another I rolled one of the spreads up. The strategy subtracted 7 bps from the portfolio this week.
And the big loser this week was the RUT Butterflies strategy. As a whole, the trades in this strategy lean pretty bearish. With the RUT up over 3% this week, this strategy really took it on the chin and subtracted 52 bps from the portfolio this week.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.28 | 0.35 | 1.51 |
| VIX Calendars | 0.00 | -0.03 | -0.15 |
| SPX Broken Wing Butterflies and Ratios | 0.47 | 0.30 | -4.18 |
| RUT Iron Condors | -0.07 | 0.16 | -0.61 |
| RUT Butterflies | -0.52 | -0.08 | -1.53 |
| TOTAL | 0.16 | 0.70 | -4.96 |