The Week in Review
Whew! It was another solid week for the portfolio and a so-so week for the markets. A new president was sworn in promising to make some big changes to the country. We'll see how that works out and the market reaction to his plans. The SPX (S&P 500) ended the week at 2271.31, down -0.15%, and the RUT (Russell 2000) ended the week at 1351.85, down -1.47%. The portfolio bucked this trend by adding a very solid +1.59%.
The SPY Put Write and Delta Hedge strategy, with the slight move down in the S&P 500, still managed to add some value due to theta decay. For the week the strategy added 4 bps to the portfolio.
The VIX calendars strategy continues to vex me but not as badly as in the past. For the week, this strategy subtracted 1 bp from the portfolio.
The SPX Broken Wing Butterflies strategy did very nicely in a market that essentially was flat fro the week. I closed the Mar 31 expiration and reduced exposure and adjusted the position of the Mar 10 expiration. There are now 3 expirations (Feb 24, Feb 28, Mar 10) that I am currently milking, collecting theta so long as the market stays within a specific range. For the week, this strategy added 68 bps to the portfolio.
The RUT Iron Condors strategy also did very well this week. The Jan 20 expiration was closed out on Friday for a nice gain. There is a Mar 17 Nested Iron Condor strategy still open along with a Feb 17 and a Feb 28 Weirdor Iron Condor strategy. The Russell 2000 had a rougher time this week when compared to the S&P 500, and as a result I did have to flatten out the deltas on the two Weirdors. For the week, this strategy added 57 bps to the portfolio.
The RUT Butterflies strategy also put in a good week. I closed the Feb 17 expiration for a 17% gain and I opened the Mar 17 expiration. For the week, the strategy added 31 bps to the portfolio.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.04 | 0.20 | 0.20 |
| VIX Calendars | -0.01 | -0.35 | -0.35 |
| SPX Broken Wing Butterflies and Ratios | 0.68 | 2.51 | 2.51 |
| RUT Iron Condors | 0.57 | 0.94 | 0.94 |
| RUT Butterflies | 0.31 | 1.87 | 1.87 |
| TOTAL | 1.59 | 5.16 | 5.16 |
Trade Activity
- CLOSED SPY Put Write Jan 20 +0.75%
- CLOSED SPY Delta Hedge Jan 27 +1.25%
- CLOSED RUT Nested Iron Condor Jan 20 -9.82%
- CLOSED RUT Weirdor Iron Condor Jan 20 +5.66%
- CLOSED RUT Butterfly Feb 17 +17.20%
- CLOSED SPX Broken Wing utterfly Mar 31 +5.93%
- MILKING SPX Broken Wing Butterfly Feb 24
- MILKING SPX Broken Wing Butterfly Feb 28
- MILKING SPX Broken Wing Butterfly Mar 10
- OPENED SPY Put Write Jan 27
- OPENED SPY Delta Hedge Feb 3
- OPENED RUT Butterfly Mar 17