The Week in Review
Yawn. I'm running out of ammo here. I've closed so many trades in the past few weeks, my portfolio theta is at a low point. For all of last year, my average daily theta sat at $183 (assuming a normalized $100,000 portfolio). As of today, it is $55. Gains and losses over the next few weeks will be smaller than usual until I can get a larger stable of open trades going again. The SPX (S&P 500) ended the week at 2294.69, up +1.03%, and the RUT (Russell 2000) ended the week at 1370.70, up +1.39%. The portfolio was up +0.25%.
The SPY Put Write and Delta Hedge strategy did reasonably well this week. With the market moving up a modest amount, I was able to notch some gains on the short puts I put on last week. I closed them out on Friday and added some new ones for next week. I'm sitting positive delta right now which is not what I really wanted. I put the delta hedge on when I should have just left it off. If I had left it off, I would be sitting nice and neutral. I'll probably just leave it and see what happens next week. Maybe I'll get lucky. For the week, the strategy added 13 bps to the portfolio.
The VIX Calendars strategy actually made me some money this week. I'm still down for the year to date but I'm liking this change in direction here. For the week, this strategy added 5 bps to the overall portfolio.
The SPX Broken Wing Butterflies and Ratios strategy finally ran out of steam this week. The Jan 27 trade was closed out for a small gain. All of the trades that I was milking last week were closed on Wednesday and Thursday this week when the market moved up and finally pushed through the upper bounds I had set for these trades. I had milked the Feb 24 and Feb 28 for quite a while and was able to pull in some nice returns. The Mar 10 trade went dry earlier than I had hoped but still brought in a respectable gain. As of today, I only have two open trades on. My Feb 17 trade is pretty much at max profit and I will hold it until expiration. My Apr 21 trade is still in it's infancy and will get closed out when I hit a gain of about 5.5%. Over the next few weeks, I'll be opening up new expirations as they become available. For the week, this strategy subtracted 3 bps from the portfolio.
The RUT Iron Condors strategy didn't do much of anything. I did have to flatten out the deltas of the two Weirdors as the RUT pushed higher in the middle of the week. This strategy added 5 bps to the overall portfolio this week.
Finally, the RUT Butterflies strategy also didn't do much of anything. I've got a really flat T+0 expiration line on the Mar 17 trade right now. It's sitting just about at the right side of the tent. I'm hoping the market moves a bit lower so that I can pull in more theta. Otherwise, if the market rises, I'll need to add a call spread or move the trade up so that I am not sitting in that valley of death too long. For the week, this strategy added 5 bps to the portfolio.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.13 | 0.33 | 0.33 |
| VIX Calendars | 0.05 | -0.29 | -0.29 |
| SPX Broken Wing Butterflies and Ratios | -0.03 | 2.47 | 2.47 |
| RUT Iron Condors | 0.05 | 1.00 | 1.00 |
| RUT Butterflies | 0.05 | 1.92 | 1.92 |
| TOTAL | 0.25 | 5.42 | 5.42 |
Trade Activity
- CLOSED SPX Broken Wing Butterfly Jan 27 +4.62%
- CLOSED SPY Put Write Jan 27 +2.23%
- CLOSED SPY Delta Hedge Feb 3 +1.53%
- CLOSED SPX Broken Wing Butterfly Feb 24 +12.66%
- CLOSED SPX Broken Wing Butterfly Feb 28 +14.25%
- CLOSED SPX Broken Wing Butterfly Mar 10 +6.76%
- OPENED SPY Put Write Feb 3
- OPENED SPY Delta Hedge Feb 10
- OPENED SPX Broken Wing Butterfly Apr 21