The Month and Year-to-Date in Review
9 stinkin' bps. All that work for 9 stinkin' bps. This is what I love about trading. Last month was one of my best and this month I might as well have went to sleep for the entire month or spent my time doing something productive. It's especially difficult watching the indices hit all time highs while I'm struggling just to keep the portfolio from getting too short delta the entire month. The SPX, S&P 500, was up +3.73% and the RUT, Russell 2000, was up +1.83%. The portfolio was up +0.09%.
This was a pretty boring month. There weren't really any big gains or losses concentrated in any one of the strategies.
The SPY Put Write and Delta Hedge added 35 bps to the portfolio. The VIX Calendars subtracted 5 bps. The big loser, if you can call it that, was the SPX Broken Wing Butterflies and Ratios strategy subtracting 34 bps from the portfolio. The RUT Iron Condors also had a tough time subtracting 19 bps from the portfolio. Finally, the RUT Butterflies added 34 bps to the portfolio. When you put it all together you get +9 bps for the entire month.
Thankfully, January was a blowout month that contributed to the really nice year-to-date figure of up +5.27%. As mentioned in the post for January most of the gains came from SPX Broken Wing Butterflies and RUT Butterflies strategies. Year-to-date, these two strategies added 215 bps and 223 bps respectively.
More details on the performance and risk of the portfolio can be found on the Performance page.