The Week in Review
This was the perfect week for a delta neutral portfolio. Not too hot and not too cold. The ETF for the S&P 500, SPY, was up +0.40% and the ETF for the Russell 2000, IWM, was up +0.53%. The portfolio was up +3.02% for the week.
Last week, with the portfolio sitting pretty delta neutral, I decided to just put on the Put Write and leave the Delta Hedge off since it really wasn't needed. With the market moving up, the SPY Put Write and Delta Hedge strategy added about 12 bps to the portfolio for the week.
The VIX Calendars strategy got no love this week.
The SPX Broken Wing Butterflies and Ratios strategy again notched some nice gains this week. I reduced the size of a number of positions as they hit their max profit target. I decided that I'm just going to let the smaller positions sit and soak until the market leaves the tent of the butterfly at which point I will close it. If the market continues to bounce back and forth in a range, the profit potential on these trades is really good. For the week, this strategy added 118 bps to the portfolio.
The RUT Iron Condors strategy also did well. I had held on to the Oct Modified Weirdor trade hoping to milk everything I could out of it. I got lucky when the market opened down on expiration Friday. The other trades are also doing well. For the week, this strategy added 100 bps to the portfolio.
The RUT Butterflies strategy also had a good week. I put on the Dec trade and let the Nov trade slowly decay. With the general move up, I removed some of my Nov position to flatten out the deltas. For the week, this strategy added 73 bps to the portfolios.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.12 | 0.00 | 2.90 |
| VIX Calendars | 0.00 | 0.00 | -0.72 |
| SPX Broken Wing Butterflies and Ratios | 1.18 | 2.16 | 3.72 |
| RUT Iron Condors | 1.00 | 1.63 | 4.94 |
| RUT Butterflies | 0.73 | 0.64 | 1.55 |
| TOTAL | 3.02 | 4.43 | 12.41 |
Trade Activity (return % based on maximum Reg-T margin)
- CLOSED - SPY Put Write, expiration Oct 21 +2.77%
- OPENED - SPY Put Write, expiration Oct 28
- OPENED - SPX Broken Wing Butterfly, expiration Jan 20
- OPENED - RUT Butterfly, expiration Dec 16