The Week in Review
Another solid week for the portfolio even though the market drove higher. The portfolio doesn't have a lot of exposure to the market right now as many of the positions have been closed after they hit their profit target. The ETF for the S&P 500, SPY, was up +2.31%, and the ETF for the Russell 2000, was up +3.44%. The portfolio was up +1.21% for the week.
The SPY Put Write and Delta Hedge strategy added 30 bps to the portfolio this week. With the market moving up, this strategy is meant to offset the losses that would normally come from a portfolio with a bit of a bearish slant.
No opportunities in the VIX Calendars this week.
The SPX Broken Wing Butterflies strategy did fairly well this week. I had to make a number of adjustments to the June butterflies. I reduced exposure to the upside and allowed for some additional gains if the market stalls out a bit. It added 50 bps to the portfolio this week.
The RUT Iron Condors strategy also did well this week. Much of the upside exposure was reduced in downturns from the previous two weeks. There is some downside exposure still there for June but it is pretty far away. Some July and maybe even an August trade will likely be opened up this week. The strategy added 34 bps to the portfolio this week.
The RUT butterflies strategy had a harder time this week. There is one neutral July butterfly and one bearish July butterfly. The strategy added 7 bps to the portfolio this week.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.30 | 0.61 | 1.97 |
| VIX Calendars | 0.00 | -0.47 | -0.57 |
| SPX Broken Wing Butterflies and Ratios | 0.50 | 2.37 | -2.52 |
| RUT Iron Condors | 0.34 | 1.73 | 1.54 |
| RUT Butterflies | 0.07 | 3.19 | 2.29 |
| TOTAL | 1.21 | 7.43 | 2.71 |