The Week in Review
Record highs in the S&P 500 and Russell 2000 spelled bad news for my delta neutral strategy again this week. It wasn't terrible but it also wasn't fun having to bail on one of my trades at a max loss. For the week, the ETF on the S&P 500, SPY, was up +1.38% and the ETF on the Russell 2000, IWM, was up +2.35%. The portfolio fell -0.59% this week.
The SPY Put Write and Delta Hedge again did what it was designed to do this week, make money when the market goes up. It's not a full hedge, only a partial hedge but this is still my 2nd best performing strategy this year. Oh well. For the week, this strategy added 16 bps to the portfolio.
The VIX Calendars strategy again stayed dormant this week. With volatility near their lows, I really should look at putting one of these on. I'll think about it.
The SPX Broken Wing Butterflies and Ratios strategy did okay this week. I ended up closing a Dec trade and opening up a Jan and Feb trade. For the week, this strategy added 5 bps to the portfolio.
The RUT Iron Condors strategy was again the big killer this week. I've finally decided to reduce the size of this strategy in my portfolio. On the next trade, I'll reduce the size to a third of the current size. For the week, the strategy subtracted 95 bps from the portfolio.
The RUT Butterflies strategy did alright this week. It's been a struggle with the Russell up so much over the past 2-3 weeks but the Dec trade is close to break even. I was also able to put on a Jan trade. For the week, this strategy added 14 bps to the portfolio.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.16 | 0.49 | 3.38 |
| VIX Calendars | 0.00 | 0.00 | -0.71 |
| SPX Broken Wing Butterflies and Ratios | 0.05 | 0.37 | 4.12 |
| RUT Iron Condors | -0.95 | -4.39 | 0.31 |
| RUT Butterflies | 0.14 | -0.25 | 1.18 |
| TOTAL | -0.59 | -3.78 | 8.30 |
Trade Activity (return % based on maximum Reg-T margin)
- CLOSED - RUT Modified Nested Iron Condor exp Jan 20 -11.09%
- CLOSED - SPX Broken Wing Butterfly exp Dec 9 +6.17%
- CLOSED - SPY Put Write exp Nov 25 +2.16%
- CLOSED - SPY Delta Hedge exp Dec 2 +1.41%
- OPENED - RUT Butterfly exp Jan 20
- OPENED - SPX Broken Wing Butterfly exp Jan 27
- OPENED - SPX Broken Wing Butterfly exp Feb 17
- OPENED - SPY Put Write exp Dec 2
- OPENED - SPY Delta Hedge exp Dec 9