The Week in Review
This was a pretty quiet week in the markets. People came back from the long weekend and mostly sat on the sidelines until the disappointing jobs report on Friday. The market took the news badly but by the end of the day it had mostly recovered. The ETF for the S&P 500, SPY, was up +0.02% and the ETF for the Russell 2000, IWM, was up +1.20%. The portfolio held its own and ended up +0.59% for the week.
The SPY Put Write and Delta Hedge ratio did reasonably well this week by adding 10 bps to the portfolio this week.
I opened up a VIX calendar this week. It was a smaller position than usual and I didn't really get the price I wanted but I did want to see if this sort of trade is still working in this environment. It's a relatively short term trade and we should see how it turns out in 2 or 3 weeks. For the week, this strategy subtracted 3 bps from the portfolio.
The SPX Broken Wing Butterflies and Ratios trade made up the lion's share of the value added to the portfolio this week. I didn't make too many adjustments this week and instead just let the theta decay. This strategy added 54 bps to the portfolio this week.
The RUT Iron Condors trade is fully on this week. Both the relatively delta neutral weirdor strategy and the nested iron condor were put on this week. It will likely be a few weeks before these trades start contributing to the overall portfolio.
The RUT Butterflies had a tougher time this week. With the RUT again moving up again this week, the bearish butterfly position held the portfolio back like an anchor. The more delta neutral butterfly made some small gains this week. Overall, the strategy subtracted 6 bps from the portfolio this week.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.10 | 0.10 | 2.07 |
| VIX Calendars | -0.03 | -0.03 | -0.60 |
| SPX Broken Wing Butterflies and Ratios | 0.54 | 0.47 | -1.98 |
| RUT Iron Condors | 0.04 | 0.05 | 1.58 |
| RUT Butterflies | -0.06 | -0.01 | 2.24 |
| TOTAL | 0.59 | 0.59 | 3.31 |