The Week in Review
It was another relatively quiet week in the markets. Unfortunately, I was not really able to take advantage of it with a lot of the trades sitting positive delta. We'll see what the next week brings. The ETF for the S&P 500, SPY, was down -0.96% and the ETF for the Russell 2000, IWM, was down -0.87%. The portfolio was down -0.35% for the week.
The SPY Put Write and Delta Hedge held it's own even with the market moving down. The put write lost money but my naked call delta hedge made some gains. With the overall portfolio heavily positive delta, another naked call delta hedge was opened on Friday. For the week, the strategy added 3 bps.
The VIX Calendars strategy was the big winner this week. No, that's not a typo. This strategy actually did what it was supposed to do this week. With volatility moving up (again, not a typo), this strategy helped limit some of the losses in the other strategies that are negative vega and therefore exposed to rising volatility.
The SPX Broken Wing Butterflies and Ratios strategy ended up hurting me this week. If the market moves sharply down, I could be in for some trouble but if it sits around for awhile this strategy should do fairly well. For the week, this strategy subtracted 24 bps from the portfolio.
The RUT Iron Condors strategy didn't do much this week. It added 3 bps to the portfolio.
The RUT Butterflies strategy didn't quite hold up as well as I had hoped. I ended up adjusting the trade more than I should of and ended up losing on both the upside and the downside. I plan on holding the Jan trade open for one more week and I will take what I can get out of it. The Feb trade is holding up fairly well but may need to be adjusted if the market continues downwards. For the week, this strategy subtracted 44 bps from the portfolio.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.03 | 0.35 | 3.72 |
| VIX Calendars | 0.29 | 0.01 | -0.71 |
| SPX Broken Wing Butterflies and Ratios | -0.24 | 0.50 | 5.26 |
| RUT Iron Condors | 0.03 | 0.37 | 0.87 |
| RUT Butterflies | -0.44 | -0.20 | 1.68 |
| TOTAL | -0.35 | 1.00 | 10.82 |
Trade Activity
- CLOSED SPY Put Write Dec 30 -1.00%
- CLOSED SPY Delta Hedge Jan 6 +1.13%
- CLOSED SPX Broken Wing Butterfly Feb 10 +4.19%
- OPENED SPY Put Write Jan 6
- OPENED SPY Delta Hedge Jan 13
- OPENED SPX Broken Wing Butterfly Feb 24
- OPENED SPX Broken Wing Butterfly Mar 3