The Week in Review
The market was really quiet this week which is perfect for this type of portfolio. The ETF for the S&P 500, SPY, was up +0.12% and the ETF for the Russell 2000, IWM, was down -0.08%. The portfolio was up +1.14%.
With the market barely moving, I was able to squeeze some theta out of the SPY Put Write and Delta Hedge strategy. For the week, it added 12 bps to the portfolio.
VIX Calendars. Nothing to see here. Move along, move along.
The SPX Broken Wing Butterflies and Ratios strategy didn't do as well as I thought it would this week with the market barely moving. Oh well, for the week it added 5 bps to the portfolio.
The RUT Iron Condors was the big winner strategy this week. This is the strategy that was causing me so much pain during last months strong market. This past week, the Russell 2000 gave back a smidge of those gains and gave this strategy a chance to breath and take in some gains. It's in a good place right now, still sitting with losses but closer to break even than it is to max loss. For the week, it added 95 bps to the portfolio.
The RUT Butterflies strategy was pretty quiet this week. It added 2 bps to the portfolio.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.12 | 0.27 | 2.78 |
| VIX Calendars | 0.00 | 0.00 | -0.50 |
| SPX Broken Wing Butterflies and Ratios | 0.05 | 0.12 | -0.60 |
| RUT Iron Condors | 0.95 | 1.09 | 0.62 |
| RUT Butterflies | 0.02 | 0.12 | 0.14 |
| TOTAL | 1.14 | 1.60 | 2.44 |