The Week in Review
This turned out to be mostly a down week for the markets. With the portfolio sitting negative delta as of the end of last week and all of this week, we were able to pick up some really good gains in just the first week of the month. The ETF for the S&P 500, SPY was down -0.58% and the ETF for the Russell 2000, IWM, was down -1.11%. The portfolio was up +1.67% for the week.
Even though the market was down, the SPY Put Write and Delta Hedge strategy was able to make some small gains thanks to theta decay. For the week, the strategy added 6 bps to the portfolio.
The VIX Calendars strategy has no trades on right now.
The SPX Broken Wing Butterflies and Ratios strategy notched some nice gains this week. A good number of the trades are near their max gain target and I have a decision to make for next week. I may decide to reduce the size and just let some of them drift, closing them only when the price of the SPX gets out of the tent of the trade. That strategy will work well if the market continues to bounce around in a channel. If the market breaks out either to the upside or the downside, I could lose all of my gains. For the week, the strategy added 95 bps to the portfolio.
The RUT Iron Condors strategy was a little quieter this week. I closed out the October Modified Nested Iron Condor. I opened the November Modified Nested Iron Condor and the December Modified Weirdor. For the week, the strategy added 12 bps to the portfolio.
The RUT Butterflies had a nice solid week. If I could have just kept myself from over adjusting the trade this week, I might actually have been able to close out the October expiration. Instead, I'll have to wait a few more days and take my chances. For the week, the strategy added 53 bps to the portfolio.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.06 | 0.06 | 2.93 |
| VIX Calendars | 0.00 | 0.00 | -0.71 |
| SPX Broken Wing Butterflies and Ratios | 0.95 | 0.95 | 2.45 |
| RUT Iron Condors | 0.12 | 0.12 | 3.32 |
| RUT Butterflies | 0.53 | 0.53 | 1.43 |
| TOTAL | 1.67 | 1.67 | 9.43 |
Trade Activity (return % based on maximum Reg-T margin)
- CLOSED - SPY Delta Hedge, Oct 14 expiration +1.10%
- CLOSED - SPY Put Write, Oct 7 expiration +1.58%
- CLOSED - RUT Modified Nested Iron Condor, Oct 21 expiration +8.19%
- OPENED - SPY Delta Hedge, Oct 21 expiration
- OPENED - SPY Put Write, Oct 14 expiration