The Week in Review

This could have been the worst week ever for the portfolio. Most of my portfolio is exposed to the Russell 2000 and that was up over 10% this week! I should be happy with a flat week for the portfolio but I'm not. A delta neutral portfolio is tough to manage in an environment like this. The ETF for the S&P 500, SPY, was up +3.77% and the ETF for the Russell 2000, IWM, was up +10.03%. The portfolio gained +0.08% this week.

The SPY Put Write and Delta Hedge strategy did reasonably well this week. The call Delta Hedge from last week was pulled off at a loss on Tuesday and the Put Write closed out at a max gain on Friday. For the week, the strategy added 16 bps to the portfolio.

The VIX Calendars strategy again was dormant. No position and no activity right now.

The SPX Broken Wing Butterflies and Ratios strategy did well this week gaining most of what it lost last week. It added 84 bps to the portfolio this week.

The RUT Iron Condors strategy really took it on the chin this week. The move by the Russell really hurt and subtracted 71 bps from the portfolio this week.

The RUT Butterflies strategy actually held up fairly well this week considering the move by the market. For the week, this strategy subtracted 21 bps from the portfolio.

Contribution to Return

STRATEGY WTD MTD YTD
SPY Put Write and Delta Hedge 0.16 0.17 3.06
VIX Calendars 0.00 0.00 -0.72
SPX Broken Wing Butterflies and Ratios 0.84 -0.31 3.44
RUT Iron Condors -0.71 -1.46 3.47
RUT Butterflies -0.21 -0.50 0.93
TOTAL 0.08 -2.10 10.20

Trade Activity (return % based on maximum Reg-T margin)

  • CLOSED - SPY Delta Hedge, exp Nov 18 -2.36%
  • CLOSED - SPY Put Write, exp Nov 11 +7.89%
  • OPENED - SPY Delta Hedge, exp Nov 25
  • OPENED - SPY Put Write, exp Nov 18
  • OPENED - RUT Iron Condor - Modified Nested Iron Condor, exp Jan 20
  • OPENED - SPX Broken Wing Butterfly, exp Dec 9
  • OPENED - SPX Broken Wing Butterfly, exp Dec 16
  • OPENED - SPX Broken Wing Butterfly, exp Dec 30
  • OPENED - SPX Broken Wing Butterfly, exp Jan 6