The Week in Review
So this week was a bit of a roller coaster ride. Up sharply on Monday recouping much of the losses from last Friday and then on Tuesday we gave it all back again. On Thursday we came up again and Friday came back down. The market ended the week up when compared to last week. The ETF for the S&P 500, SPY, was up +0.55% and the ETF for the Russell 2000, IWM, was up +0.50%. The portfolio was up +1.46% for the week.
The SPY Put Write and Delta Hedge did alright this week. Even though the market was up this week, I ended up losing money on the Put Write strategy because of poor timing on the entry and exit. I can't really control that. Sometimes it will go my way and sometimes it won't. The Delta Hedge piece of this strategy did well. I ended up closing that position for a gain on Friday and rolled it out to the Sep 30 expiration. Again, with the portfolio leaning positive delta, I ended up using short calls to try and neutralize the portfolio a bit. For the week, this strategy added 14 bps to the portfolio.
The VIX Calendars strategy gave back some of the gains I made last week. Volatility came down a bit as the world became a little less scary. For the week, this strategy subtracted 13 bps from the portfolio.
The SPX Broken Wing Butterflies and Ratios strategy ended up doing well this week. Last week they were a bit of a loser but they managed to make up for it this week. The strategy is still sitting positive delta so it should benefit from an upturn in the market. The strategy added 59 bps to the portfolio this week.
The RUT Iron Condors strategy also did well this week. The October trade is sitting right in the centre and the November trade is a wee bit left of centre. There was an opportunity to remove some of the call spreads this week because they hit their profit target but I've decided to leave them on thinking I might be able to take advantage of a bigger market move deeper into the trade. We'll see how that works out. For now, the strategy added 66 bps to the portfolio this week.
The RUT Butterflies strategy managed to do fairly well this week. I closed out the September expiration trade on Wednesday after getting whipped around on Monday and Tuesday. I was lucky to get out of there with gains and I really should have taken it off last week. Oh well. For the week, this strategy added 21 bps to the portfolio.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.14 | -0.14 | 2.84 |
| VIX Calendars | -0.13 | 0.22 | -0.37 |
| SPX Broken Wing Butterflies and Ratios | 0.59 | 0.32 | 0.30 |
| RUT Iron Condors | 0.66 | 0.53 | 2.14 |
| RUT Butterflies | 0.21 | 0.47 | 0.89 |
| TOTAL | 1.46 | 1.41 | 5.81 |
Trade Activity (return % based on maximum Reg-T margin)
- CLOSED - SPY Put Write, Sep 16 expiration -2.19% loss
- CLOSED - SPY Delta Hedge Sep 23 expiration +1.53% gain
- OPENED - SPY Put Write, Sep 23 expiration
- OPENED - SPY Delta Hedge, Sep 30 expiration
- OPENED - RUT Iron Condor Modified Weirdor, Oct 21 expiration