The Week in Review
Monday, market closed. Tuesday, boring. Wednesday, boring. Thursday, boring. Friday, not so boring. So it looks like it takes a nuclear test in North Korea and a Fed speech next week to spook the markets. It sounds like the Federal Reserve may be more inclined to raise rates than everyone first thought. Hmm....we'll see. For the week, the ETF for S&P 500, SPY, was down -2.31% and the ETF for the Russell 2000, IWM, was down -2.61%. The portfolio fared a little better and was down -0.64% for the week.
The SPY Put Write and Delta Hedge strategy had a rough week. It doesn't do so well when it's designed to work with a sideways or upwards moving market. That being said however, the delta hedge naked puts from last week were closed out today and replaced with naked calls. With the portfolio sitting positive delta right now, this is only the second time this year where I have had to hedge positive delta with naked calls. We'll see how next week goes. For the week, this strategy subtracted 35bps from the portfolio.
The VIX Calendars strategy was the big winner this week. After Thursday's market close, I was considering changing the name of this strategy to the consistent loss strategy. Friday proved me wrong as volatility finally popped. For the week, this strategy added 43 bps to the overall portfolio.
The SPX Broken Wing Butterflies and Ratios strategy suffered a little more than I thought it would this week although I really shouldn't be surprised. I opened three more of the butterflies on Thursday and then promptly got slapped around on Friday as the market tanked. The butterflies that had been opened earlier this month handled the down move fine but those new ones got stomped. For the week, the strategy subtracted 32 bps from the portfolio.
The RUT Iron Condors strategy had a tough time this week. I had a couple of the trades leaning positive delta and just waiting for expiration next week. And then this Friday mess comes along and whips me around with the high gamma. Someday I will learn my lesson and close those trades out earlier...someday. For the week, the strategy subtracted 56 bps from the portfolio.
The RUT Butterflies strategy did reasonably well this week. I have one trade expiring next week that kind of got stomped this week but is still profitable and I have another trade expiring in October than was happy to see the market move down and move into the meat of the butterfly. For the week, this strategy added 17 bps to the portfolio.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | -0.35 | -0.27 | 2.68 |
| VIX Calendars | 0.43 | 0.36 | -0.23 |
| SPX Broken Wing Butterflies and Ratios | -0.32 | 0.26 | -0.30 |
| RUT Iron Condors | -0.56 | -0.12 | 1.46 |
| RUT Butterflies | 0.17 | 0.26 | 0.67 |
| TOTAL | -0.64 | -0.04 | 4.29 |