Week in Review
Boing! We finally got that little bit of a snap back to reality with the market taking a bit of a breather. It's been difficult fighting the continual move upwards. The portfolio was up +0.74% this week. The ETF for the S&P 500, SPY, was down -1.26% and the ETF for the Russell 2000, IWM, was down -1.42% for the week.
Market goes down, SPY Put Write and Delta Hedge does not do too well. This week, the strategy subtracted 33 bps from the portfolio.
The VIX calendars were all over the place this week. I think I have the strikes too far out. Oh well. In any case, they added 17 bps to the portfolio this week.
The SPX Broken Wing Butterflies didn't do too well this week. Even though the overall strategy is negative delta, I made some adjustments last week that didn't pan out too well in the down move this week. The strategy subtracted 40 bps from the portfolio this week.
The RUT Iron Condors did well this week. The May delta neutral strategy is pretty flat and we will likely be closing that later in the week and the June delta neutral strategy will be opened shortly thereafter. A different June trade was leaning really short delta and was really helped out by the move down this week. Also, a July version of the same trade was opened at the end of this week. Overall, this strategy added 54 bps to the portfolio this week.
The RUT Butterflies also did well this week. There are a couple of bearish positions in this strategy which recouped much of their previous unrealized losses. The May position will likely stay on another week or so before being closed out. This strategy added 75 bps to the portfolio this week.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | -0.33 | 0.15 | 1.32 |
| VIX Calendars | 0.17 | 0.02 | -0.11 |
| SPX Broken Wing Butterflies and Ratios | -0.40 | -0.18 | -4.66 |
| RUT Iron Condors | 0.54 | 0.63 | -0.15 |
| RUT Butterflies | 0.75 | 0.68 | -0.80 |
| TOTAL | 0.74 | 1.30 | -4.39 |