The Week in Review
So I guess it's no longer the end of the world as we know it? The Brits vote to exit the EU and everyone maybe thinks it will all go away? This is the type of market I hate. Market goes drops like a rock, and then streaks upwards. Not so easy for a portfolio where you kind of just want the market to sit there. In any case, the portfolio was up +0.70% this week. The ETF for the S&P 500, SPY, was up +3.29% and the ETF for the Russell 2000, IWM, was up +2.69%.
The SPY Put Write and Delta Hedge strategy did okay this week. For the first time this year, I had so much positive delta that I actually ended up selling some calls to get a little more neutral. That turned out to not help so much and I ended up taking it off a day or two later. This strategy added 8 bps to the portfolio this week.
The VIX calendars strategy continued to work well this week. It's working with an assumption of lower volatility over the next couple of months. If the market quiets down some more, this should bring in some more gains. It added 26 bps to the portfolio this week.
The SPX Broken Wing Butterflies and Ratios strategy did fine this week. I took advantage of the higher volatility by putting on a short term put ratio and also added a couple of broken wing butterflies expiring in a couple of months. I continue to struggle with this strategy since I don't seem to be getting the strikes I want. I may change this around a bit by putting a little less money in the weeklies (where I can't seem to get the strikes I want until about 6 or 7 weeks out) and a little more money into the monthlies (where I can get good strikes upwards of 12 or 13 weeks out). This week, the strategy added 28 bps to the portfolio.
The RUT Iron Condors strategy recovered nicely this week after a not so great previous week. It added 78 bps to the portfolio this week.
The RUT Butterflies strategy had a tough time this week. I've never been very good at managing this strategy when the market moves up big and that's what happened this week. I might have to go back to the drawing board on this one. This week, it subtracted 70 bps from the portfolio.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.08 | 0.01 | 1.97 |
| VIX Calendars | 0.26 | 0.07 | -0.08 |
| SPX Broken Wing Butterflies and Ratios | 0.28 | -0.09 | -2.21 |
| RUT Iron Condors | 0.78 | 0.17 | 1.39 |
| RUT Butterflies | -0.70 | 0.08 | -0.04 |
| TOTAL | 0.70 | 0.24 | 1.03 |