The Week in Review
So this was not a great week nor was it a terrible week. The market came down this week but the portfolio held its own. The Fed said it may raise interest rates again but not this month. Maybe next month? Maybe before the end of the year? It depends. Next week the Brexit vote is coming and volatility has moved up considerably. The ETF for the S&P 500, SPY, was down -1.18% and the ETF for the Russell 2000, IWM, was down -1.73%. The portfolio was down -0.24% for the week.
The SPY Put Write and Delta Hedge took a bit of a hit with the market moving down this week. As of right now, just the Put Write strategy is on. The portfolio is pretty delta neutral right now and so there is no need for a Delta Hedge. We'll see what the market brings us next week. For the week, this strategy subtracted 13 bps from the portfolio.
The VIX Calendars has done well this month. Volatility has moved up and the short near month put is almost worthless right now. I'm debating whether or not to hold on to the long put which expires in August. Will volatility drop down closer to 16 in the next two months? Hmm...much to consider. For the week, the strategy added 10 bps to the portfolio.
The SPX Broken Wing Butterflies and Ratios strategy did well this week. It was sitting short delta at the end of last week and benefitted from the market's move down. I took off a number of the weekly expirations that were either vulnerable or sitting above target profit. This strategy added 37 bps to the portfolio this week.
The RUT Iron Condors strategies were ok this week. The neutral strategy had some trouble keeping up with the downturn whereas the nested strategy did well because it was sitting negative delta last week. With the move down, I was able to take off some calls at target profit. As a whole, the two strategies subtracted 8 bps from the portfolio this week.
The RUT Butterflies strategy had the most trouble this week. I had to take off the bearish piece of this strategy once it hit my max loss. Unfortunately, that strategy was a victim of bad timing that was put on just before a sharp move up and then couldn't handle the sharp move back down. The more market neutral strategy with July expiration did very little this week and with the increased volatility out there, I decided to add the August expiration. We'll see how these hold up after the vote next week. This strategy subtracted 51 bps from the portfolio this week.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | -0.13 | -0.01 | 1.94 |
| VIX Calendars | 0.10 | 0.33 | -0.23 |
| SPX Broken Wing Butterflies and Ratios | 0.37 | -0.02 | -2.46 |
| RUT Iron Condors | -0.08 | -0.48 | 1.03 |
| RUT Butterflies | -0.51 | -1.30 | 0.90 |
| TOTAL | -0.24 | -1.48 | 1.18 |