The Week in Review
It was another relatively quiet week with the market drifting higher, then drifting lower, and then having a bit of an identity crisis on Friday moving sharply up, sharply down and finally finishing mostly unchanged after digesting Yellen's comments. The ETF for the S&P 500, SPY, was down -0.57% and the ETF for the Russell 2000, IWM, was up +0.09% for the week.
The SPY Put Write and Delta Hedge suffered from a bit of a down move over the past week and some poor timing on Friday when I rolled the strategy forward one week. The strategy subtracted 4 bps from the portfolio for the week.
The VIX Calendars strategy again remained dormant this week.
The SPX Broken Wing Butterflies and Ratios again had a pretty solid week. They are sitting fairly negative delta right now. I'm going to consider making some adjustments to them next week. They added 22 bps to the portfolio this week.
The RUT Iron Condors strategy was a bit of a laggard this week. It subtracted 19 bps from the portfolio this week.
The RUT Butterflies strategy handled the market pretty well this week. There is currently a Sep trade on and I will be looking to add an Oct trade next week. This strategy added 9 bps to the portfolio this week.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | -0.04 | 0.34 | 2.87 |
| VIX Calendars | 0.00 | 0.00 | -0.51 |
| SPX Broken Wing Butterflies and Ratios | 0.22 | 0.51 | -0.22 |
| RUT Iron Condors | -0.19 | 1.73 | 1.27 |
| RUT Butterflies | 0.09 | 0.35 | 0.37 |
| TOTAL | 0.08 | 2.94 | 3.79 |