The Week in Review

It's oh so quiet. The market had another ho hum week. Not too hot, not too cold. Just right for a market neutral portfolio. The ETF for the S&P 500, SPY, was up +0.03% and the ETF for the Russell 2000, IWM, was up +0.61%. The portfolio was up +1.24% for the week.

The SPY Put Write and Delta Hedge strategy notched another 11 bps of gains this week as the market treaded water.

VIX Calendars. This is a tricky little strategy that I can't seem to get right. For now, I am leaving it alone with no exposure to it right now.

The SPX Broken Wing Butterflies and Ratios strategy continued to add to the portfolio this week. It added 16 bps to the overall portfolio. With the market staying higher, I am torn between adjusting some of the trades to squeeze more out of them or leave them where they are and protect their profits in case of a move downward. We'll see what I feel like next week.

The RUT Iron Condors is again the big star this week. The Sep nested trade notched up some more gains. A couple of weeks ago I added a put debit spread and a call debit spread that limits the gains in the middle of the trade but provides some protection with a big move up or down. Right now, I am sitting pretty close to break even on that trade. That's a huge turn around considering I was sitting near max loss several weeks ago. The Sep weirdor trade was added as was the Oct nested trade. Next week, I will like add some debit spreads to the Oct nested trade as well. For the week, this strategy added 84 bps to the overall portfolio.

The RUT butterflies did reasonably well this week. The Aug trade was closed and the Sep trade is sitting open with a small gain. This week, the strategy added 13 bps to the overall portfolio.

Contribution to Return

STRATEGY WTD MTD YTD
SPY Put Write and Delta Hedge 0.11 0.38 2.91
VIX Calendars 0.00 0.00 -0.50
SPX Broken Wing Butterflies and Ratios 0.16 0.29 -0.44
RUT Iron Condors 0.84 1.93 1.46
RUT Butterflies 0.13 0.26 0.28
TOTAL 1.24 2.86 3.71