The Week in Review
I'm starting to like this broken record where the returns keep on being positive. There's been no big change in the strategy over the past few months. It's just that we are in an environment where this type of strategy really sings, a sideways range bound market. The ETF for the S&P 500, SPY, was up +0.36%, and the ETF for the Russell 2000, IWM, was up +1.05%. The portfolio was up +1.87% for the week.
With the market up, the SPY Put Write and Delta Hedge strategy does what it is supposed to do. It contributed 25 bps this week.
Volatility is still a bit elevated. If the market keeps going up, volatility should drop and we may be able to put on another trade. Until then, we wait and the VIX Calendars strategy stays in the drawer.
The SPX Broken Wing Butterflies and Ratios strategy held up well this week. With the down move, I was going to have to make some adjustments but the move up on Friday delayed that action. I was able to put on the Aug monthly expiration trade and a Jul weekly expiration trade. As I mentioned previously, I'm not liking that these weeklies don't have the 10 point strikes until about 60 days out or so. It alters the behaviour of this strategy. We'll just have to play it by ear. For the week, this strategy added 82 bps to the overall portfolio return.
The RUT Iron Condors trade also went well this week. The Jul calls came off after they hit their target profit. This strategy added 37 bps to the portfolio this week.
The RUT Butterflies also did nicely this week. I closed out the Jun bearish butterflies. There is one remaining Jun butterfly on and I hope to close it out either this week or the next. At the beginning of the week, I also put on the Aug bearish butterfly and the Aug butterfly with the extra call. This week, the strategy added 43 bps to the portfolio.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.25 | 0.30 | 1.66 |
| VIX Calendars | 0.00 | -0.47 | -0.57 |
| SPX Broken Wing Butterflies and Ratios | 0.82 | 1.85 | -3.00 |
| RUT Iron Condors | 0.37 | 1.37 | 1.19 |
| RUT Butterflies | 0.43 | 3.10 | 2.21 |
| TOTAL | 1.87 | 6.15 | 1.49 |