The Week in Review
This was going to be a great week and then the strong move upward ruined everything. Sitting negative delta as of the end of Thursday, the excellent jobs report on Friday morning pushed the markets to record highs. The ETF for the S&P 500, was up +0.48% and the ETF for the Russell 2000, IWM, was up +1.01%. The portfolio was up +0.46% for the week.
With the move up in the markets, the SPY Put Write and Delta Hedge again did well. For the week, it added 14 bps to the overall portfolio.
I stayed away from the VIX calendars strategy after getting burned last week.
The SPX Broken Wing Butterflies and Ratios strategy had a reasonable return this week. It added 7 bps to the overall portfolio.
The RUT Iron Condors was doing great up until Friday morning. It's still leaning very heavily negative delta and I had to adjust the strategies to avoid hitting my max loss. I was still able to get some gains out of it for the week. For the week, this strategy added 14 bps to the portfolio.
The RUT Butterflies strategy remained fairly steady throughout the week. It handled the move down early in the week and did not get into trouble with the move on Friday. It was mostly theta decay and decreasing volatility that helped the strategy this week. It added 10 bps to the overall portfolio this week.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.14 | 0.14 | 2.64 |
| VIX Calendars | 0.00 | 0.00 | -0.50 |
| SPX Broken Wing Butterflies and Ratios | 0.07 | 0.07 | -0.65 |
| RUT Iron Condors | 0.14 | 0.14 | -0.32 |
| RUT Butterflies | 0.10 | 0.10 | 0.12 |
| TOTAL | 0.46 | 0.46 | 1.29 |