The Week in Review
This was one of those weeks where you think something is going to happen, it doesn't happen so you adjust your strategy, and then that thing happens and you get stomped because you weren't positioned appropriately. The Russell 2000 was up about +2.5% for the week by the end of Wednesday and then came crashing down to near break even for the week on Thursday and Friday. Oh well, it happens. The ETF for the S&P 500, SPY, fell -0.10% and the ETF for the Russell 2000, IWM, rose 0.09% this week. The portfolio was down -1.83% for the week.
The SPY Put Write and Delta Hedge didn't do much. It was up earlier in the week and then gave everything back as the market dropped on Thursday and Friday. It added 2 bps to the portfolio.
The VIX Calendars strategy finally started working. With volatility up, it's possible the near short contract will expire worthless and net me a good gain. It added 26 bps to the portfolio this week.
The SPX Broken Wing Butterflies and Ratios strategy didn't work at all this week. I really thought it would have worked better. In the first part of the week, it got hurt because of all the short delta on some of the close to expiring trades. When that premium disappeared I think this strategy suffered in the latter part of the week because of the rising volatility. The premium lost from the first part of the week is likely gone and won't come back. The premium lost from the latter part of the week could come back as the longer term trades mature and get closer to expiration. For the week, this strategy subtracted 86 bps from the portfolio.
The RUT Iron Condors strategy got hit this week because of rising volatility. It subtracted 45 bps from the portfolio this week.
The RUT Butterflies strategy also got hurt this week. I moved both the neutral and bearish position as the market moved higher and then got whipsawed as the market moved back down again. The bearish position is in danger of hitting my maximum loss target. The neutral position is down a small amount. This strategy subtracted 79 bps from the portfolio this week.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.02 | 0.11 | 2.07 |
| VIX Calendars | 0.26 | 0.23 | -0.33 |
| SPX Broken Wing Butterflies and Ratios | -0.86 | -0.39 | -2.84 |
| RUT Iron Condors | -0.45 | -0.40 | 1.11 |
| RUT Butterflies | -0.79 | -0.80 | 1.42 |
| TOTAL | -1.83 | -1.24 | 1.43 |