The Week in Review
Breathe. This past week the market took a bit of a breather. It did head higher but it was slower than normal. That gave the portfolio the chance to take in some gains. The ETF for the S&P 500, SPY, was up +0.65%, and the ETF for the Russell 2000, IWM, was up +0.58%. The portfolio was up for the week +0.62%.
With a slow move upwards, the SPY Put Write and Delta Hedge strategy was again able to gain. I have to admit it's annoying the hedging strategy is the best performing strategy of the year but I'll take what I can get for now. For the week, this strategy added 17 bps to the portfolio.
With volatility levels down near the lows of the year, I put on two more calendars expiring in August. They lost a little bit of value by the end of the week, but I expect them to become profitable as we get closer to expiration and if I get a little bit of luck and volatility moves a little bit higher. This week, the strategy subtracted 17 bps from the portfolio.
The SPX Broken Wing Butterflies and Ratios again put in a solid showing this week. Rather than adjust some of the medium term butterflies, I decided to experiment and add a couple of medium term ratios. They do increase the risk if the market moves sharply lower but will pack quite a punch if the market sits here or drifts slowly lower. For the week, this strategy added 23 bps to the portfolio.
The RUT Iron Condors has been the trouble maker this month. This past week however, this strategy managed to stay out of trouble. This strategy was leaning pretty heavily negative delta and even though the market moved up, the lower volatility helped bring in some gains. It's still touch and go though and may fall apart completely next week. For this week however, this strategy added 26 bps to the portfolio.
The RUT Butterflies strategy slowly added some gains to the portfolio. To balance the negative delta of the RUT Iron Condors strategy, I leaned this one positive delta. In addition to the single August trade, I added a September trade, also with positive delta. It's a bit of a hedge without taking too much downside risk. For the week, this strategy added 13 bps to the portfolio.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.17 | 0.39 | 2.35 |
| VIX Calendars | -0.17 | 0.07 | -0.08 |
| SPX Broken Wing Butterflies and Ratios | 0.23 | 1.06 | -1.06 |
| RUT Iron Condors | 0.26 | -1.70 | -0.49 |
| RUT Butterflies | 0.13 | -0.19 | -0.31 |
| TOTAL | 0.62 | -0.37 | 0.42 |