The Week in Review
Ugh. This feels like a week of missed opportunities. The market did next to nothing this week yet I wasn't really able to take advantage of it. The SPX, S&P 500, ended the week at 2367.34, up +0.69%, and the RUT, Russell 2000, ended the week at 1394.52, down -0.38%. The portfolio ended the week up +0.03%.
The SPY Put Write and Delta Hedge strategy was a mixed bag this week. With the SPX moving up, I was able to close out the Put Write for a gain. At the end of last week, with the portfolio leaning positive delta, I put on some naked SPY calls. With the SPX moving up, that trade was closed out for a loss. A similar set of trades was put on this Friday. For the week, the strategy added 2 bps to the portfolio.
The VIX Calendars strategy had a more difficult time this week. volatility didn't ease off with the market moving up. For the week, the strategy subtracted 10 bps from the portfolio.
The SPX Broken Wing Butterflies and Ratios strategy was all over the place this week. In the end it ended down slightly. I opened a May 12 and May 19 expiration trade this week. Details are available in the Trade Activity section below. For the week, the strategy subtracted 8 bps from the portfolio.
The RUT Iron Condors strategy had a fairly uneventful week. With expiration approaching, the debit spreads in the Weirdor trades were narrowed a bit, reducing the potential loss in the spreads but also reducing protection on the downside. For the week, the strategy added 6 bps to the overall portfolio.
The RUT Butterflies strategy was the main contributor to the portfolio adding 13 bps this week. I was able to close out the Mar 17 trade at my target gain and at the same time open up the Apr 21 trade.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | 0.02 | 0.36 | 0.54 |
| VIX Calendars | -0.10 | 0.00 | -0.21 |
| SPX Broken Wing Butterflies and Ratios | -0.08 | -0.27 | 2.22 |
| RUT Iron Condors | 0.06 | -0.03 | 0.79 |
| RUT Butterflies | 0.13 | 0.39 | 2.30 |
| TOTAL | 0.03 | 0.45 | 5.65 |
Trade Activity
- CLOSED VXX Calendar Feb24/Mar10 -11.28%
- CLOSED SPY Put Write Feb 24 +1.86%
- CLOSED SPY Delta Hedge Mar 3 -0.69%
- CLOSED RUT Butterfly Mar 17 +6.56%
- OPENED VXX Calendar Mar3/Mar17
- OPENED SPY Put Write Mar 3
- OPENED SPY Delta Hedge Mar 10
- OPENED RUT Butterfly Apr 21
- OPENED SPX BWB May 12
- OPENED SPX BWB May 19
SPX BWB Trade Details
- SPX BWB May 12 SOLD -2 IRON CONDOR SPX 100 (Weeklys) 12 MAY 17 2335/2385/2335/2260 CALL/PUT @48.15
- SPX BWB May 19 SOLD -2 IRON CONDOR SPX 100 19 MAY 17 2340/2390/2340/2260 CALL/PUT @49.00