The Week in Review
So the week ends mostly unchanged from the Friday before. On Thursday, fear gripped the markets as people started to speculate whether or not the German government would or would not bail out Deutsche Bank. Apparently, some hedge funds started to reduce exposure to the bank fearing a fine by the Justice Department may be the straw that breaks the camel's back. Then on Friday, word of a possible settlement seemed to make all of those fears go away...for now. The ETF for the S&P 500, SPY, was up +0.14% and the ETF for the Russell 2000, IWM, was down -0.21%. The portfolio notched a confident +0.81% gain for the week.
The SPY Put Write and Delta Hedge strategy had a tough time even though the market was mostly flat. The Put Write piece did fine with this week's expiration closing for a smidge of a gain. The Delta Hedge got taken out late on Monday with the move down as the hedge hit my max loss and the portfolio flipped over to positive delta. For the week, this strategy subtracted 6 bps from the portfolio.
The VIX calendars continues to mock me. I gave up on these trades on Tuesday and closed them all out for a gain this week but a loss overall. This strategy added 13 bps to the portfolio this week.
The SPX Broken Wing Butterflies and Ratios strategy was all over the place this week but by Friday of this week it finished flat. The trade expiring this week was closed out and a new trade expiring Dec 2 was opened. For the week, this trade did nada.
The RUT Iron Condors strategy proved to be good ballast for a market that sloshing around hitting lows on Tuesday, highs on Thursday morning, lows by Thursday afternoon and then highs again by Friday afternoon. I made one adjustment to the Modified Weirdor trade expiring Oct 21. As a whole, the strategy added 48 bps to the portfolio this week.
The RUT Butterflies strategy also was a pretty solid performer this week. No adjustments were necessary as the market bounced around in the meat of both the Oct 21 and Nov 18 trades. For the week, this strategy added 27 bps to the portfolio.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | -0.06 | -0.16 | 2.84 |
| VIX Calendars | 0.13 | -0.10 | -0.71 |
| SPX Broken Wing Butterflies and Ratios | 0.00 | 1.45 | 1.45 |
| RUT Iron Condors | 0.48 | 1.53 | 3.17 |
| RUT Butterflies | 0.27 | 0.44 | 0.87 |
| TOTAL | 0.81 | 3.16 | 7.64 |
Trade Activity (return % based on maximum margin)
- CLOSED - SPY Delta Hedge, Oct 7 expiration -2.98% loss
- CLOSED - SPY Put Write, Sep 30 expiration +0.01% gain
- CLOSED - VIX Calendar, Sep 28 expiration *
- CLOSED - VIX Calendar, Oct 19 expiration *
- CLOSED - VIX Calendar, Nov 16 expiration *
- CLOSED - SPX Broken Wing Butterfly, Sep 30 expiration *
- OPENED - SPY Delta Hedge, Oct 14 expiration
- OPENED - SPY Put Write, Oct 7 expiration
- OPENED - SPX Broken Wing Butterfly, Dec 2 expiration
* For these trades I did not have the initial cost information because I only recently started recording trades in the OptionNET Explorer software.