The Week in Review
So after a fairly successful week prior to this one fending them off from a 10% rise in the Russell 2000, the RUT Iron Condors finally came home to roost. The ever rising Russell 2000 finally took me out of the December trade and the January trade is looking pretty sickly. Maybe this will finally teach me to trade a smaller size. The ETF for the S&P 500, SPY, was up +0.96% and the ETF for the Russell 2000, IWM, was up +2.85%. The portfolio was down for the week -1.14%.
The SPY Put Write and Delta Hedge had an easy run at it this week. The market headed higher and didn't threaten either trade at all. For the week, this strategy added 17 bps to the portfolio.
The VIX Calendars strategy remained unused.
The SPX Broken Wing Butterflies and Ratios strategy had another solid week bringing in 63 bps for the week. I closed out the Dec 23 trade for a nice gain and opened a Jan 13 trade. Most of the current open trades are sitting with good gains but also negative delta. I'll have to decide whether to leave them as is and hope for a pullback, adjust them to try and pull in some more gains, or just close them out.
The RUT Iron Condors were a disaster this week. When the next trades go on, I am going to reduce the size of this strategy. The gains will be lower but so will the losses. It should lead to a less volatile portfolio which is what I am trying to achieve. For the week, this strategy subtracted 204 bps from the portfolio.
The RUT Butterflies strategy continues to confound me. I swear I've moved the December trade around 4 or 5 times during it's lifetime. That being said, it does definitely handle large market movements very well. I'm not sure what I will be able to get out of this trade, if anything. I intend to close it two weeks before expiration, Friday, December 2. The January trade will likely go on next week. For the week, this trade added 10 bps to the portfolio.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.17 | 0.33 | 3.22 |
| VIX Calendars | 0.00 | 0.00 | -0.71 |
| SPX Broken Wing Butterflies and Ratios | 0.63 | 0.32 | 4.08 |
| RUT Iron Condors | -2.04 | -3.47 | 1.31 |
| RUT Butterflies | 0.10 | -0.39 | 1.04 |
| TOTAL | -1.14 | -3.21 | 8.94 |
Trade Activity
- CLOSED - SPY Put Write exp Nov 18 +3.45%
- CLOSED - RUT Modified Nested Iron Condor exp Nov 18 -0.23%
- CLOSED - SPY Delta Hedge exp Nov 25 +2.66%
- CLOSED - RUT Modified Nested Iron Condor exp Dec 16 -6.79%
- CLOSED - SPX Broken Wing Butterfly exp Dec 23 +6.63%
- OPENED - SPY Put Write exp Nov 25
- OPENED - SPY Delta Hedge exp Dec 2
- OPENED - RUT Modified Weirdor exp Dec 30
- OPENED - SPX Broken Wing Butterfly exp Jan 13