The Week in Review
I hate trading. :) This was a frustrating week for me. I put some trades on, the market went down, I adjusted, and then the market reversed and headed back up again. I hate it when that happens. In any case, the trades are on and we'll just take what the market gives us. For the week, the SPX was up +0.81% and the RUT was up +0.80%. The portfolio was down -0.44%.
The SPY Put Write and Delta Hedge strategy had a good week. With the portfolio leaning negative delta last Friday, I put on a couple of short puts 2 weeks out with a 30 delta to try and hedge some of the portfolio delta. Both the Put Write and the Delta Hedge ended up winners this week. The strategy added 14 bps to the overall portfolio return.
The VIX Calendars strategy was okay this week. I ended up giving back some of the gains on my VXX trade and the VIX trade dropped a bit but overall I was satisfied even though I lost a bit. For the week, the strategy subtracted 6 bps from the overall portfolio.
The SPX Broken Wing Butterflies and Ratios strategy gave back a little this week. I'm finding a lot of trades I put on in the last three weeks are being challenged by the stronger market. This means they'll require some adjustments and the gains will be harder to come by. This week, I opened a trade that expires Apr 13. The details from thinkorswim are: SOLD -2 IRON CONDOR SPX 100 (Weeklys) 13 APR 17 2275/2320/2275/2200 CALL/PUT @ 42.90. Going forward, I'll be sharing the details of all the trades in this strategy in full each week. This will include all opens, adjustments and closes. For the week, this strategy subtracted 11 bps from the overall portfolio.
The RUT Iron Condors strategy was the biggest loser. I put on a couple of the weirdor trades, the market moved down, I made some adjustments, and then the market promptly reversed and headed back up. Arg. I'm thinking these trades will need some more adjusting this week but we'll see. For the week, this strategy subtracted 40 bps from the portfolio.
The RUT Butterflies strategy did nothing this week. The market moved back and forth into the tent, out of the tent, into the tent and then back out again on Friday. I finally decided to adjust the trade and position the tent above the current RUT market price. This may come back to bite me but the Mar trade is entering a period where theta will start decaying pretty nicely and if the market doesn't head down too much, I should be in a good position to collect that theta. For the week, the strategy subtracted 1 bp from the portfolio.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.14 | 0.24 | 0.41 |
| VIX Calendars | -0.06 | 0.04 | -0.17 |
| SPX Broken Wing Butterflies and Ratios | -0.11 | -0.15 | 2.34 |
| RUT Iron Condors | -0.40 | -0.46 | 0.34 |
| RUT Butterflies | -0.01 | 0.00 | 1.90 |
| TOTAL | -0.44 | -0.33 | 4.82 |
Trade Activity
- CLOSED VXX Calendar Feb 10 +16.60%
- CLOSED SPY Put Write Feb 10 +2.00%
- CLOSED SPY Delta Hedge Feb 17 +1.25%
- OPENED SPY Put Write Feb 17
- OPENED SPY Delta Hedge Feb 24
- OPENED RUT Weirdor Iron Condor Mar 17
- OPENED RUT Weirdor Iron Condor Mar 31
- OPENED SPX Broken Wing Butterfly Apr 13
- OPENED RUT Nested Iron Condor Apr 21