The Week in Review
This was a fairly quiet week with very little activity in the account. I set some alerts and some contingent orders and didn't really have to do anything until the latter half of the week. As the election draws near and as relatively weak earnings continue to roll in, volatility has moved up and stocks (especially the small caps) have moved down. With a good chunk of the portfolio exposed to the RUT, this weakness has definitely hurt the portfolio. The ETF for the S&P 500, SPY, was down -0.67% and the ETF for the Russell 2000, IWM, was down -2.51%. The portfolio was down -0.23% this week.
The SPY Put Write and Delta Hedge strategy had a tough time holding on to a gain even with the positive theta decay. The Put Write was rolled into next week and with the overall portfolio leaning positive delta, I put a Delta Hedge on using naked calls. For the week, this strategy subtracted 2 bps from the portfolio.
VIX Calendars...nothing to see here. Tired of getting burned on this strategy. I really need to spend some more time figuring out how to work this strategy into the portfolio and maybe win on this trade every once in a while.
The SPX Broken Wing Butterflies and Ratios strategy was up and down this week. It's designed to handle a move down but is also susceptible to rising volatility. With that, the strategy was essentially flat for the week. It added 1 bp to the portfolio this week.
The RUT Iron Condors strategy handled a good move down in the small caps. With the move down, the trades are in a riskier position and will need either further adjustment or will need to be closed if the market moves further. If the market sits still or rebounds, these open trades will experience some substantial gains. For the week, this strategy added 3 bps to the portfolio.
The RUT Butterflies strategy was the loser for the week. I was holding on to the November trade hoping for the market to continue it's move sideways. Instead, with the good move down in the small caps, I had to close it out. It was for a gain, but less than I would have liked. The December trade moved into losing territory this week but is not really in danger yet. If the market makes another move down, I may have to adjust it. For the week, the strategy subtracted 26 bps from the portfolio.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | -0.02 | -0.02 | 2.88 |
| VIX Calendars | 0.00 | 0.00 | -0.72 |
| SPX Broken Wing Butterflies and Ratios | 0.01 | 2.17 | 3.73 |
| RUT Iron Condors | 0.03 | 1.67 | 4.97 |
| RUT Butterflies | -0.26 | 0.37 | 1.28 |
| TOTAL | -0.23 | 4.19 | 12.15 |
Trade Activity (return % based on maximum Reg-T margin)
- CLOSED - RUT Butterfly, expiration Nov 18 +24.12%
- CLOSED - RUT Iron Condors - Modified Weirdor, expiration Oct 21 +7.61%
- CLOSED - SPY Put Write, expiration Oct 28 -0.72%
- OPENED - SPY Put Write, expiration Nov 4
- OPENED - SPY Delta Hedge, expiration Nov 11