The Week in Review
Ugh. Just continued pain for a portfolio that is supposed to be mostly market neutral. It's leaning pretty short negative delta right now and would appreciate a bit of a market pullback or a short little breather. The ETF for the S&P 500, SPY, was up +1.49% and the ETF for the Russell 2000, IWM, was up +2.49%. The portfolio was down -1.14% for the week.
The SPY Put Write and Delta Hedge strategy did nothing this week. I was playing with the strategy a bit and kind of messed it up. Oh well.
The VIX Calendars strategy is currently sitting dormant. I don't have any trades on at this point. I was looking but nothing met my price target.
The SPX Broken Wing Butterflies and Ratios strategy added 28 bps to the portfolio this week. Instead of moving the calls on some of the butterflies, I added a couple of ratios instead to see what would happen. This strategy added 28 bps to the portfolio this week.
The RUT Iron Condors strategy was the big loser this week. The weirdor is not too bad but the nested iron condor is really taking a beating and is pretty close to a max loss. I think I am going to reduce the size of this trade next month. This strategy subtracted 150 bps from the portfolio this week.
The RUT Butterflies strategy held it's own this week. I made an adjustment to it at the end of the week so that it is now leaning positive delta and serves to balance out the big negative delta from the RUT Iron Condors strategy. This strategy added 7 bps to the portfolio this week.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.00 | 0.22 | 2.17 |
| VIX Calendars | 0.00 | 0.24 | 0.09 |
| SPX Broken Wing Butterflies and Ratios | 0.28 | 0.83 | -1.28 |
| RUT Iron Condors | -1.50 | -1.95 | -0.74 |
| RUT Butterflies | 0.07 | -0.32 | -0.44 |
| TOTAL | -1.14 | -0.98 | -0.20 |