The Week in Review
This was nothing less than a dream week. With the portfolio sitting positive delta at the end of last week and the move up in the markets, I was well positioned to let the market move into the meat of my positions. The SPX (S&P 500) ended the week at 2276.98 and was up +1.70% and the RUT (Russell 2000) ended the week at 1367.28 and was up +0.75%. For the week, the portfolio was up +2.40%.
The SPY Put Write strategy did reasonably well this week. Because the rest of the portfolio was positive delta, I had a short call on to try and offset that as part of the delta hedge. I incurred some losses on that this week but those were offset by the gains from the put write. For the week, the strategy added 7 bps to the portfolio.
The VIX Calendars strategy this week did what it did to me all of last year. I still can't seem to get a handle on this strategy. I ended up closing the calendar using 16 puts and adjusted the calendar using 15 puts. For the week, the strategy subtracted 30 bps from the portfolio.
The SPX Broken Wing Butterflies strategy had a good week. The previous week, this strategy got hurt by the market move down. This week, it recouped all of last week's losses and then some. I ended up closing the Feb 3 trade and opened a Mar 10 and Mar 31 trade. The strategy added 115 basis points to the portfolio.
The RUT Iron Condors strategy was pretty quiet this week with nothing really on. It wasn't until later in the week that I added a Nested Iron Condor. I'm keeping those trades small this year because I really didn't like the exposure on this trade when the market really moves. For the week, the strategy added 15 bps to the portfolio.
The RUT Butterflies strategy made back the losses incurred last week. I was able to close the Jan 20 trade for a reasonable gain considering how much trouble I had with it. Right now, I just have the Feb 17 trade on and will be looking to open the Mar trade in a couple of weeks. This strategy added 132 bps to the overall portfolio.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.07 | 0.07 | 0.07 |
| VIX Calendars | -0.30 | -0.30 | -0.30 |
| SPX Broken Wing Butterflies and Ratios | 1.15 | 1.15 | 1.15 |
| RUT Iron Condors | 0.15 | 0.15 | 0.15 |
| RUT Butterflies | 1.32 | 1.32 | 1.32 |
| TOTAL | 2.40 | 2.40 | 2.40 |
Trade Activity
- CLOSED SPY Put Write Jan 6 +2.63%
- CLOSED SPY Delta Hedge Jan 13 -0.59%
- CLOSED VIX Calendar Jan Mar 16P -20.72%
- CLOSED RUT Butterfly Jan 20 +5.58%
- CLOSED SPX Broken Wing Butterfly Feb 3 +3.82%
- OPENED SPY Put Write Jan 13
- OPENED SPY Delta Hedge Jan 20
- OPENED SPX Broken Wing Butterfly Mar 10
- OPENED RUT Nested Iron Condor Mar 17
- OPENED SPX Broken Wing Butterfly Mar 31