The Week in Review
Being the week before Christmas, this was a fairly boring and quiet week. I expect the same for next week. Not much going on in the portfolio either. The ETF for the S&P 500, SPY, was up +0.30% and ETF for the Russell 2000, IWM, was up +0.73%. The portfolio was up 0.26%.
The SPY Put Write and Delta Hedge strategy again notched gains with the market moving up. I messed this strategy up by closing one of the trades on Thursday rather than Friday. Oh well. For the week, this strategy added 5 bps to the portfolio.
The VIX Calendars strategy again suffered from near record lows in volatility. Unless we start seeing the market move down soon. I'll have to remove this trade at a loss. For the week, this strategy subtracted 14 bps from the portfolio.
The SPX Broken Wing Butterflies and Ratios strategy put in another good week of gains. I was able to open up the Mar 17 trade when that expiry came in under my 90 day rule. For the week, this strategy added 28 bps to the portfolio.
The RUT Iron Condors strategy was pretty quiet. Not much going on in this strategy. I still have pieces of the Dec weirdor and Jan nested iron condor on. Also, I have the full Jan weirdor still on which is the only trade really adding gains. For the week, it added 10 bps to the portfolio.
The RUT Butterflies strategy was one I struggled with this week. Contrary to my rules, I made an adjustment early in the week and then put it back later on in the week. Sometimes I just need to get out of my own way. For the week, this strategy subtracted 3 bps from the portfolio.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.05 | 0.32 | 3.69 |
| VIX Calendars | -0.14 | -0.29 | -1.02 |
| SPX Broken Wing Butterflies and Ratios | 0.28 | 0.75 | 5.53 |
| RUT Iron Condors | 0.10 | 0.34 | 0.85 |
| RUT Butterflies | -0.03 | 0.24 | 2.15 |
| TOTAL | 0.26 | 1.37 | 11.21 |
Trade Activity (return % based on maximum Reg-T margin)
- CLOSED SPY Put Write expires Dec 23 +1.42%
- OPENED SPY Put Write expires Dec 30
- OPENED SPY Delta Hedge expires Jan 6
- OPENED RUT Butterfly expires Feb 17
- OPENED SPX Broken Wing Butterfly expires Mar 17