The Month and Year-to-Date in Review
This turned out to be a dream month for the portfolio. I believe I read somewhere that this was the least volatile January in 55 years. These are goldilocks conditions for a market neutral portfolio, not too hot and not too cold. For the month, the portfolio was up +5.17%. The SPX (S&P 500) was up +1.78% and the RUT (Russell 2000) was up +0.35%.
For the month, the gains were concentrated in the two butterfly strategies: SPX Broken Wing Butterflies and Ratios, and the RUT Butterflies. I think this makes sense since, based on the expiration profit and loss graphs, these strategies have the potential for the biggest gains if the market doesn't move and stays under the tent.
Since I was leaning positive delta for some of the month, I had some naked calls on in the SPY Put Write and Delta Hedge strategy. This limited the gains in this strategy to 17 bps of contribution to the portfolio.
The VIX Calendars strategy is one of those strategies I struggle with. I'm probably going to try some slightly different strategies this year. For the month, this strategy subtracted 22 bps from the portfolio.
The SPX Broken Wing Butterflies and Ratios strategy was the big winner. With the market moving up and down, but not too much, I was able to let a few of the trades just sit there as I milked the theta decay. For the month, this strategy added 250 bps to the overall portfolio.
The RUT Iron Condors strategy put in some good solid gains this month too. I've had to make a couple of adjustments since the RUT seems to have been more volatile than the SPX. That being said, I was still able to get 82 bps out of this strategy for the month.
The RUT Butterflies strategy was the next biggest winner this month. It added 190 bps to the overall portfolio. It's able to handle more volatility than the SPX Butterflies, but with the RUT ending the month only a bit higher than it started, I was able to get some really nice gains out of it with little adjustment.
Year-to-date, ditto.