The Week in Review
The markets cooled off this week allowing me to recoup some of my recent losses. For the week, the ETF for the S&P 500, SPY, was down -0.83% and the ETF for the Russell 2000, IWM, was down -2.36%. The portfolio was up +1.72%.
The SPY Put Write and Delta Hedge strategy took a bit of a hit this week with the markets moving down. Both of last week's trades were closed this week for a loss. I put on a new Put Write but I didn't put on a new Delta Hedge because the portfolio is currently sitting pretty close to neutral. For the week, the strategy subtracted 8 bps from the overall portfolio.
The VIX Calendars strategy again was quiet this week. Nothing is on.
The SPX Broken Wing Butterflies and Ratios strategy did well again this week. They were sitting pretty negative delta last week and the market move down put a lot of them in their sweet spot. I closed one of them expiring in a couple of weeks and opened up a Feb 3 trade. For the week, this strategy added 62 bps to the portfolio.
The RUT Iron Condors strategy was pretty quiet this week. In hindsight, it would have been great if I had left on my big losers from last week but alas, we must move forward. I'll still do those loser trades but I'll just do them much smaller. For this week, the Weirdor was on and added 20 bps to the overall portfolio.
The RUT Butterflies strategy was the big winner this week. Both the Dec and Jan trades did well this week. For the Dec trade, I instituted my get-out-two-weeks-before-expiration-no-matter-what rule. I was really happy with this trade with the way the market moved over it's lifetime. It handled it really well. The Jan trade also notched up some gains this week and the Feb trade will go on in a couple of weeks or so. For the week, this strategy added 98 bps to the portfolio.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | -0.08 | -0.02 | 3.32 |
| VIX Calendars | 0.00 | 0.00 | -0.72 |
| SPX Broken Wing Butterflies and Ratios | 0.62 | 0.08 | 4.80 |
| RUT Iron Condors | 0.20 | 0.04 | 0.53 |
| RUT Butterflies | 0.98 | 0.31 | 2.21 |
| TOTAL | 1.72 | 0.41 | 10.16 |
Trade Activity (return % based on maximum Reg-T margin)
- CLOSED - SPY Put Write exp Dec 2 -0.89%
- CLOSED - SPY Delta Hedge exp Dec 9 -0.27%
- CLOSED - RUT Butterfly exp Dec 16 +5.16%
- CLOSED - SPX Broken Wing Butterfly Dec 16 +11.11%
- OPENED - SPY Put Write exp Dec 9
- OPENED - SPX Broken Wing Butterfly exp Feb 3