The Week in Review
So it was back to playing defense this week with the markets on a tear again. This is one of those weeks where you are happy if you still have one of those old fashioned long only portfolios. The ETF for the S&P 500, SPY, was up +3.11% and the ETF for the Russell 2000, IWM, was up +5.66%. Playing defense the whole week, the portfolio managed gains of +0.11% this week.
The SPY Put Write and Delta Hedge had an easy go this week. My only regret is that I did not put on a delta hedge last Friday because the portfolio was really nicely balanced. I still think it was the right thing to do given the circumstances. Sometimes it just doesn't work out. For the week, this strategy added 17 bps to the overall portfolio.
The VIX Calendars strategy finally got some life again! With the VIX near 1 year lows, I decided to take a chance and put on a couple of trades. And as if on cue, I am already taking a hit. For the week, the strategy subtracted 6 bps from the portfolio.
The SPX Broken Wing Butterflies trades were the most active this week. Lots of adjustments and closures. Four trades were closed and two were opened this week as the market moved past all of my alert and adjustment points. I had hoped to leave some of them on longer and take advantage of decaying theta but the market would not oblige. For the week, the strategy added 8 bps to the portfolio.
The RUT Iron Condors had a reasonably good week but there were some quirks in the pricing and the gains from this week won't last and wouldn't hold up if I tried to close out the position. In any case, it added 18 bps to the portfolio this week.
The RUT Butterflies strategy had a tougher time dealing with the big push up in the Russell 2000. No worries just yet but it did subtract 27 bps from the portfolio this week.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.17 | 0.15 | 3.50 |
| VIX Calendars | -0.06 | -0.06 | -0.78 |
| SPX Broken Wing Butterflies and Ratios | 0.08 | 0.16 | 4.90 |
| RUT Iron Condors | 0.18 | 0.22 | 0.71 |
| RUT Butterflies | -0.27 | 0.04 | 1.93 |
| TOTAL | 0.11 | 0.52 | 10.28 |
Trade Activity (return % based on maximum Reg-T margin)
- CLOSED - SPY Put Write exp Dec 9 +3.18%
- CLOSED - SPX BWB exp Dec 30 +7.13%
- CLOSED - SPX BWB exp Jan 6 +3.04%
- CLOSED - SPX BWB exp Jan 13 +6.27%
- CLOSED - SPX BWB exp Jan 20 +5.83%
- OPENED - SPY Put Write exp Dec 16
- OPENED - SPY Delta Hedge exp Dec 23
- OPENED - SPX BWB exp Feb 10
- OPENED - SPX BWB exp Feb 28
- OPENED - VIX Calendar 15 Put exp Jan 18
- OPENED - VIX Calendar 16 Put exp Jan 18