The Week in Review
It was another strong week for the markets building upon last week's gains. The strong jobs numbers pushed the market up towards record highs. The ETF for the S&P 500, SPY, was up +1.30% and the ETF for the Russell 2000, IWM, was up +1.77%.
The SPY Put Write and Delta Hedge strategy was set up this week to counteract some of the portfolio's negative delta. With the strong move upwards, this strategy added 21 bps to the portfolio this week.
I ended up closing the VIX calendars strategy this week. Continuing falling volatility brought me most of the gains I was going to get. I'll be looking to put on another calendar if I can get the right price next week. This strategy added 17 bps to the portfolio this week.
The SPX Broken Wing Butterflies and Ratios added nicely to the portfolio this week. I had to make some adjustments since the strong up move put me pretty far outside the main body of the butterfly. This week, the strategy added 64 bps to the portfolio.
The RUT Iron Condors were the trouble makers this week. The July weirdor was closed for a loss this week and the August nested iron condor was closed for a gain. The August weirdor and September nested iron condor were both opened this week. The weirdor is doing fine but the nested iron condor has already had two adjustments with the strong up move. For the week, this strategy subtracted 62 bps from the portfolio.
The RUT Butterflies strategy also caused me some pain. I ended up closing the July butterfly at a loss. It was getting pretty hard to control so close to expiration. The August butterfly is sitting pretty solid right now. This strategy subtracted 47 bps from the portfolio this week.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.21 | 0.22 | 2.18 |
| VIX Calendars | 0.17 | 0.24 | 0.09 |
| SPX Broken Wing Butterflies and Ratios | 0.64 | 0.55 | -1.57 |
| RUT Iron Condors | -0.62 | -0.45 | 0.77 |
| RUT Butterflies | -0.47 | -0.40 | -0.52 |
| TOTAL | -0.08 | 0.16 | 0.95 |