The Week in Review
The market was pretty subdued the first part of the week while waiting for the Fed's comments on Wednesday afternoon. After that, it took off, generating some nice gains on Wednesday. On Thursday, it went even higher but gave most of it back on Friday. The ETF for the S&P 500, SPY, was up +1.23%, and the ETF for the Russell 2000, IWM, was up +2.42%. The portfolio has a solid week, up +0.91%.
The SPY Put Write and Delta Hedge did so-so this week. Last week's calls, the Delta Hedge, were taken off for a loss as the portfolio flipped over to negative delta. This week, with the portfolio leaning negative delta, I put on some puts. For the week, this strategy added 4bps to the portfolio.
The VIX Calendars strategy is again proving to be the anchor that zags when the rest of the portfolio zigs. This week, it subtracted 46 bps from the portfolio.
The SPX Broken Wing Butterflies and Ratios strategy had a really strong showing. The strong move up removed a lot of the volatility and the small move back on Friday brought a lot of the trades right into the sweet spot. I ended up closing 3 of the weekly trades and opening 2 others. For the week, this strategy added 112 bps to the portfolio.
The RUT Iron Condors strategy was solid. There was one minor adjustment to a Weirdor trade but other than that this strategy didn't require too much maintenance this week. This strategy added 50 bps to the portfolio this week.
The RUT Butterflies strategy lost a bit this week. I was a little slow adjusting the October trade as the market moved up on Wednesday and Thursday. I also opened the November trade. For the week, this strategy subtracted 30 bps from the portfolio.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.04 | -0.10 | 2.89 |
| VIX Calendars | -0.46 | -0.23 | -0.84 |
| SPX Broken Wing Butterflies and Ratios | 1.12 | 1.45 | 1.45 |
| RUT Iron Condors | 0.50 | 1.04 | 2.67 |
| RUT Butterflies | -0.30 | 0.17 | 0.59 |
| TOTAL | 0.91 | 2.33 | 6.77 |
Trade Activity (return % based on maximum Reg-T margin)
- CLOSED - SPY Delta Hedge, Sep 30 expiration -0.30% loss
- CLOSED - SPY Put Write, Sep 23 expiration +4.50% gain
- CLOSED - SPX Broken Wing Butterfly, Oct 7 expiration *
- CLOSED - SPX Broken Wing Butterfly, Oct 14 expiration *
- CLOSED - SPX Broken Wing Butterfly, Oct 21 expiration *
- OPENED - SPY Put Write, Sep 30 expiration
- OPENED - SPY Delta Hedge, Oct 7 expiration
- OPENED - RUT Butterfly, Nov 8 expiration
- OPENED - SPX Broken Wing Butterfly, Nov 25 expiration
- OPENED - SPX Broken Wing Butterfly, Dec 16 expiration
* For those three SPX Broken Wing Butterflies, I didn't have the initial cost information because I only recently started recording trades in the OptionNET Explorer software.