The Week in Review
This was one of those weeks where the market took a bit of a breather and paused the relentless move up. Even though the portfolio positions are a little light right now, the quiet week did allow the portfolio to accumulate some gains and made for a reasonably good week. The ETF for the S&P 500, SPY, was down -0.07% and the ETF for the Russell 2000, IWM, was down -1.73%. The portfolio was up +0.59%.
The SPY Put Write and Delta Hedge did nicely this week with the portfolio mostly staying flat. On Friday, I did not put on a new delta hedge position because the portfolio was sitting fairly delta neutral. For the week this strategy contributed 11 bps to the portfolio return.
The VIX Calendars strategy again slowly did what they always do, slowly sucking money out of my pocket. If we get an up move in volatility before the middle of January, this strategy might just pay off...or not. For the week, the strategy subtracted 8 bps from the portfolio return.
The SPX Broken Wing Butterflies and Ratios strategy had another solid week. I made some adjustments when the S&P 500 pushed through one of my trigger points earlier in the week. Then it settled down a bit and started coming back down. It added 30 bps to the portfolio return tis week.
The RUT Iron Condors strategy was pretty quiet this week. I was able to put on the January Weirdor position this week and it has been doing well so far. For the week, this strategy added 2 bps to the portfolio.
The RUT Butterflies did reasonably well this week. The January trade is doing reasonably well and I am planning to add the February position next week. This strategy added 23 bps to the portfolio.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.11 | 0.26 | 3.63 |
| VIX Calendars | -0.08 | -0.14 | -0.87 |
| SPX Broken Wing Butterflies and Ratios | 0.30 | 0.46 | 5.23 |
| RUT Iron Condors | 0.02 | 0.24 | 0.74 |
| RUT Butterflies | 0.23 | 0.28 | 2.18 |
| TOTAL | 0.59 | 1.10 | 10.93 |
Trade Activity (return % based on maximum Reg-T margin)
- CLOSED SPY Put Write exp Dec 16 +3.62%
- CLOSED SPY Delta Hedge exp Dec 23 +1.56%
- OPENED SPY Put Write exp Dec 23
- OPENED RUT Iron Condor Weirdor exp Jan 20