The Week in Review
So this is the week where I felt like the character Cliff Clavin when he competed on Jeopardy! on the show Cheers; I definitely hit my dream boards this week. The ETF for the S&P 500, SPY, was down -0.29% and the ETF for the Russell 2000, IWM, was down -1.39%. The portfolio was up +3.46%. However, there was definitely something that was not priced correctly at the close on Friday. I'm estimating it was added about 57 bps. I'm going to leave it in this week's performance, but it will come out of the performance next week.
With the market down slightly this week, the SPY Put Write and Delta Hedge held up pretty well. It added 1 bp to the portfolio this week.
The VIX Calendars strategy served as a nice counterweight as the market whipped around. There are only about 2 weeks left in this particular trade. I'm hoping to see volatility higher but not too high. For the week, this strategy subtracted 28 bps from the portfolio.
The SPX Broken Wing Butterflies did nicely this week. This strategy added 56 bps to the portfolio.
The RUT Iron Condors did very well this week. One of the June trades was completely closed out over the course of the week. A new June neutral trade was opened on Friday. This strategy added 80 bps to the portfolio this week.
The RUT Butterflies strategy was the big winner this week but it was also the strategy with the mispriced options. There are two May trades that will be coming off next week. The June trades are doing well and have not had any adjustments at all. The July trades may be opened next week or I may wait to open them the following week. This strategy added 239 bps to the portfolio this week.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.01 | 0.01 | 1.34 |
| VIX Calendars | -0.28 | -0.28 | -0.38 |
| SPX Broken Wing Butterflies and Ratios | 0.56 | 0.56 | -4.20 |
| RUT Iron Condors | 0.80 | 0.80 | 0.63 |
| RUT Butterflies | 2.39 | 2.39 | 1.52 |
| TOTAL | 3.46 | 3.46 | -1.08 |