The Week in Review
Meh. That pretty much sums up the week. After a really exciting first few weeks of the year, the portfolio has settled down, closing down some positions and opening up others. I still have a really low theta number and will be looking to push that up over the next couple of weeks as I open up some more trades. The SPX, S&P 500, finished the week at 2297.42, up +0.12% and the RUT, Russell 2000, finished the week at 1377.84, up +0.52%. The portfolio was down -0.14%.
At the end of last week, I was lamenting the fact that I had put on a delta hedge when I thought I really didn't need it and I definitely paid for that mistake this week. The SPY Put Write and Delta Hedge had a tough time this week even though the market was up. I had to close out the delta hedge when I hit my maximum loss number on Monday when the market moved down. The put write did fairly well this week and I closed it out a nearly a max gain on Friday. At the end of the week, I also opened a new put write and a new delta hedge to be closed out next week. The strategy subtracted 6 bps from the portfolio this week.
The VIX Calendars strategy did well this week. I added a new VXX calendar this week and it did really nicely as volatility got sucked out of the market. For the week, this strategy added 17 bps to the portfolio.
The SPX Broken Wing Butterflies and Ratios strategy didn't do much of anything this week. In the middle of the week, I opened up a ratio expiring on Feb 17 to negate some of the negative delta I was dealing with overall. I also opened up three regular broken wing butterflies expiring on Mar 24, Apr 7 and Apr 28. For the week, the strategy subtracted 1 bp from the portfolio.
The RUT Iron Condors strategy had a tough time this week. I exited out of two weirdors earlier than I would normally because I got a little nervous when the market moved down at the beginning of the week. I'll be looking to add Mar trades on next week. The strategy subtracted 24 bps from the portfolio.
The RUT Butterflies strategy didn't do much of anything this week. The market moved down into the tent of the trade and then moved back out beyond it on the upside. For the week, this strategy added nothing to the overall portfolio.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | -0.06 | 0.10 | 0.27 |
| VIX Calendars | 0.17 | 0.10 | -0.12 |
| SPX Broken Wing Butterflies and Ratios | -0.01 | -0.04 | 2.46 |
| RUT Iron Condors | -0.24 | -0.07 | 0.75 |
| RUT Butterflies | 0.00 | 0.02 | 1.92 |
| TOTAL | -0.14 | 0.10 | 5.28 |
Trade Activity
- CLOSED SPY Put Write Feb 3 +1.67%
- CLOSED SPY Delta Hedge Feb 10 -2.38%
- CLOSED RUT Weirdor Iron Condor Feb 17 +1.30%
- CLOSED RUT Weirdor Iron Condor Feb 28 +2.41%
- CLOSED RUT Nested Iron Condor Mar 17 +7.70%
- OPENED SPY Put Write Feb 10
- OPENED VXX Calendars Feb 10
- OPENED SPY Delta Hedge Feb 17
- OPENED SPX Ratio Feb 17
- OPENED SPX Broken Wing Butterfly Mar 24
- OPENED SPX Broken Wing Butterfly Apr 7
- OPENED SPX Broken Wing Butterfly Apr 28