The Week in Review
This was a reasonably good week that put an end to a frustrating month. Watching the market move up this month while my portfolio was struggling wasn't fun. This week, things were a little bit different and the markets were mixed. The ETF for the S&P 500, SPY, was down -0.05% and the ETF for the Russell 2000, IWM, was up +0.55% for the week. The portfolio was up +0.41% for the week.
The SPY Put Write and Delta Hedge again added to the portfolio as the S&P 500 was mostly flat. For the week, this strategy added 13 bps to the portfolio.
The VIX Calendars strategy was the big loser this week. I struggled with this as volatility continued to get taken out of the market. For the week, this strategy subtracted 42 bps from the portfolio.
The SPX Broken Wing Butterflies and Ratios strategy continued with another solid week. Being short delta, a small move downward would really be nice but I'm fine with continuing to take in these smaller gains. This week, it added 34 bps to the portfolio.
The RUT Iron Condors strategy managed to eke out some small gains even though the Russell 2000 moved higher. That one big loser trade continues to sit there on the edge of maximum loss. I'll make sure next month this trade represents a much smaller portion of the portfolio to avoid the disaster this trade became this month. For the week, this strategy added 2 bps to the portfolio.
The RUT Butterflies strategy did well this week serving as a counterbalance to the RUT Iron Condors strategy. As the market moved up, this strategy made money. For the week, it added 33 bps to the portfolio.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.13 | 0.53 | 2.49 |
| VIX Calendars | -0.42 | -0.34 | -0.50 |
| SPX Broken Wing Butterflies and Ratios | 0.34 | 1.40 | -0.72 |
| RUT Iron Condors | 0.02 | -1.68 | -0.47 |
| RUT Butterflies | 0.33 | 0.14 | 0.02 |
| TOTAL | 0.41 | 0.04 | 0.83 |