The Week in Review
This week the market started up, drifted down to about break-even on Thursday and then pushed higher on Friday with the threat of a September interest rate increase seemingly off the table. The ETF for the S&P 500, SPY was up +0.48% and the ETF for the Russell 2000, IWM, was up +1.18%. It was a solid week for the portfolio closing it out with a gain of +1.14%.
The SPY Put Write and Delta Hedge strategy again contributed gains to the overall portfolio as the market moved higher. This week it added 17 bps to the portfolio.
With volatility low I decided to add on some VIX Calendars. And, similar to past instances where I put on this trade, I promptly lost money. It's not too bad right now but for the week this strategy subtracted 16 bps from the portfolio.
The SPX Broken Wing Butterflies and Ratios strategy went positive for the year finally erasing the big thumping I took at the beginning of the year. This week, the strategy added 24 bps to the portfolio.
The RUT Iron Condors strategy was again the big winner this week. The Sep trade, which last month was threatening a max loss, is now moving nicely into positive territory. We'll give it one more week before I decide if I want to take a chance and go for big money. This week the strategy added 76 bps to the portfolio.
The RUT Butterflies strategy held its own this week adding 12 bps to the overall portfolio.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.17 | 0.08 | 3.05 |
| VIX Calendars | -0.16 | -0.07 | -0.67 |
| SPX Broken Wing Butterflies and Ratios | 0.24 | 0.06 | 0.03 |
| RUT Iron Condors | 0.76 | 0.45 | 2.05 |
| RUT Butterflies | 0.12 | 0.08 | 0.50 |
| TOTAL | 1.14 | 0.60 | 4.97 |