The Week in Review
This was a relatively quiet week for the portfolio. It was able to stand up to a general market move up on Monday and a strong move down on Tuesday. It remained down for the rest of the week. Being short delta as of the end of last week, the portfolio was able to handle the move down without too much damage being done to the overall position. The ETF for the S&P 500, SPY, was down -0.89% and the ETF for the Russell 2000, IWM was down -1.95%. The portfolio was down -0.29% for the week.
The SPY Put Write and Delta Hedge strategy suffered some losses this week. The delta hedge was closed out on the big move down on Tuesday as it hit the max loss (-2.80%) and the portfolio flipped over to positive delta. By the end of the week, with the market down, the Put Write was also taken off for a loss (-0.45%). For the week, the strategy subtracted 18 bps from the overall portfolio.
Nothing going on in the VIX Calendars.
The SPX Broken Wing Butterflies and Ratios strategy held up pretty well this week. A number of trades hit their max gain target and I was able to take them off and reduce exposure with the big move down on Tuesday. I also opened a couple of new trades expiring on Dec 9 and Dec 30. For the week, the strategy added 1 bp to the portfolio.
The RUT Iron Condors strategy had a strong showing this week. I made a couple of minor adjustments to flatten out the deltas. Other than that, negative delta and theta decay were the source of the gains. The strategy added 50 bps to the portfolio this week.
The RUT Butterflies trade was the big loser this week. I'm disappointed because I thought I could stretch this one out a bit and notch some big gains the week before expiration. But the market had other ideas and I ended up taking the Oct expiration trade off for a small loss (-1.52%). Once again, if I had just stuck to my rules, I would be in a much better place. Instead, the strategy subtracted 62 bps from the portfolio this week.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | -0.18 | -0.12 | 2.74 |
| VIX Calendars | 0.00 | 0.00 | -0.71 |
| SPX Broken Wing Butterflies and Ratios | 0.01 | 0.96 | 2.46 |
| RUT Iron Condors | 0.50 | 0.62 | 3.84 |
| RUT Butterflies | -0.62 | -0.09 | 0.78 |
| TOTAL | -0.29 | 1.37 | 9.12 |
Trade Activity (return % based on maximum Reg-T margin)
CLOSED – RUT Butterfly, Oct 21 expiration -1.52% loss
CLOSED – SPX Broken Wing Butterfly, Oct 28 expiration *
CLOSED – SPX Broken Wing Butterfly, Nov 4 expiration *
CLOSED – SPX Broken Wing Butterfly, Nov 11 expiration *
CLOSED – SPX Broken Wing Butterfly, Nov 18 expiration *
CLOSED – SPY Delta Hedge, Oct 21 expiration -2.80% loss
CLOSED – SPY Put Write, Oct 14 expiration -0.45% loss
OPENED – SPY Put Write, Oct 21 expiration
OPENED – SPX Broken Wing Butterfly, Dec 9 expiration
OPENED - SPX Broken Wing Butterfly, Dec 30 expiration
* For these trades I did not have the initial cost information because I only recently started recording trades in the OptionNET Explorer software.