The Week in Review
This was another solid week for the portfolio and a so-so week in the markets. We got a bit of a scare at the open on Thursday as the market moved strongly downwards but then staged a really good come back by the end of the day. The SPX (S&P 500) closed the week at 2274.64, down -0.10% for the week and the RUT (Russell 2000) closed the week at 1372.05, up +0.35% for the week. The portfolio did well returning +1.09% for the week.
The SPY Put Write and Delta Hedge strategy did reasonably well this week. Both pieces of the strategy made money but because the market was down slightly, it didn't do as well as it would have done with an up move. For the week, this strategy added 8 bps to the portfolio's return.
The VIX Calendars didn't do a whole lot this week. I closed out the calendar using the puts with the 15 strike price for a loss. I added a new trade a little bit further out. The idea is to hold it for 2 months and roll it. We'll see how it goes. For the week, the strategy subtracted 4 bps from the overall portfolio.
The SPX Broken Wing Butterflies and Ratios strategy put in another good week. For half of the trades, I exit as soon as I hit about a +5.5% profit target. For the other half, when they hit +5.5%, I reduce my exposure by half, reposition them, and let them sit and soak within a specific price range exiting only when they break out of that range. The idea is that they will sit and collect theta in a range bound market. I have a couple of trades on right now doing just that and they have contributed a lot to the strong returns of this strategy. For the week, the strategy as a whole has added 63 bps to the overall portfolio.
The RUT Iron Condors strategy has had a reasonably good week. I opened up two new Weirdor trades, one with an expiration Feb 17 and one Feb 28. For the week, this strategy added 21 bps to the overall portfolio.
Finally, the RUT Butterflies strategy also did fairly well. It dealt quite nicely with the RUT's rapid decline on Thursday and subsequent comeback that afternoon and on Friday. I'm hoping to close the Feb trade in a couple of weeks. Before I do, I will be looking to open up the Mar trade sometime next week. The strategy added 21 bps to the portfolio this week.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.08 | 0.16 | 0.16 |
| VIX Calendars | -0.04 | -0.34 | -0.34 |
| SPX Broken Wing Butterflies and Ratios | 0.63 | 1.80 | 1.80 |
| RUT Iron Condors | 0.21 | 0.36 | 0.36 |
| RUT Butterflies | 0.21 | 1.54 | 1.54 |
| TOTAL | 1.09 | 3.52 | 3.52 |
Trade Activity
- CLOSED SPY Put Write exp Jan 13 +1.83%
- CLOSED SPY Delta Hedge exp Jan 20 +1.25%
- CLOSED VIX Calendar Jan/Mar 15 Puts -23.59%
- CLOSED SPX Broken Wing Butterfly exp Mar 3 +5.79%
- CLOSED SPX Broken Wing Butterfly exp Mar 10 +5.95%
- OPENED SPY Put Write exp Jan 20
- OPENED SPY Delta Hedge exp Jan 27
- OPENED RUT Weirdor Iron Condor exp Feb 17
- OPENED RUT Weirdor Iron Condor exp Feb 28
- OPENED VIX Calendar Apr 17P / May 21C