The Week in Review
What a difference a week makes. Last week I was complaining about missed opportunities. This week everything just seemed to fall into place. The general activity in the S&P didn't change much; the increase this week was similar to last week's increase. The main difference is that volatility seemed to tick down a little and with some of my trades are getting closer to expiration, the theta decay is really starting to kick in. The SPX, S&P 500, ended the week at 2383.12, up +0.67%, and the RUT, Russell 2000, ended the week at 1394.13, down -0.11%. The portfolio had a great week, up +1.44%.
The SPY Put Write and Delta Hedge strategy had a tougher go this week. With the portfolio leaning positive delta last week, I put on some naked calls to hedge some of that risk. With the big surge in the market on Wednesday, I hit my max loss on that trade and took it off. That loss far outweighed the gain from the put write part of the strategy and as a whole subtracted 5 bps from the portfolio.
The VIX Calendars strategy didn't suck this week. Gotta like that. I closed out one VXX trade this week and then opened one VXX calendar and a VIX calendar. For the week, this strategy added 1 bp to the portfolio.
The SPX Broken Wing Butterflies and Ratios strategy was the big winner this week. I had a few adjustments (see details below) when the big surge on Wednesday blew through my adjustment points on three of my trades. I'm at a point where I am thinking whether or not I should move some of those trades so that the tent is centered right around at the money or if I should just let them be. We shall see. For the week, the strategy added 73 bps to the portfolio.
The RUT Iron Condors trades really started coming in this week. One of the trades expires in two weeks and one expires in four weeks. I'll probably let the first one sit a few days longer before I close it out. The second one will probably stay on another couple of weeks. There was some funky pricing at the close on Friday that put that first trade's value higher than I really think it should be and I expect some of those gains to get taken back out next week. This strategy added 59 bps to the portfolio.
The RUT Butterflies strategy was pretty quiet this week. It handled the big moves in the RUT like a champ hardly moving at all. It's still early in that trade and with a nice flat T+0 line it doesn't earn much theta but it sure does handle volatility well. For the week, it added 16 bps to the portfolio.
Contribution to Return
| STRATEGY | WTD | MTD | YTD |
|---|---|---|---|
| SPY Put Write and Delta Hedge | -0.05 | -0.04 | 0.49 |
| VIX Calendars | 0.01 | 0.06 | -0.20 |
| SPX Broken Wing Butterflies and Ratios | 0.73 | 0.80 | 3.00 |
| RUT Iron Condors | 0.59 | 0.76 | 1.40 |
| RUT Butterflies | 0.16 | 0.22 | 2.48 |
| TOTAL | 1.44 | 1.80 | 7.17 |
Trade Activity
- CLOSED SPY Put Write Mar 3 +2.48%
- CLOSED VXX Calendar Mar 3 / Mar 17 -2.45%
- CLOSED SPY Delta Hedge Mar 10 -2.34%
- OPENED SPY Put Write Mar 10
- OPENED VXX Calendar Mar 10 / Mar 24
- OPENED SPY Delta Hedge Mar 17
- OPENED VIX Calendar Mar 17 / Jun 21
SPX Broken Wing Butterflies Details
- SPX Broken Wing Butterfly Mar 24 BOT +2 VERTICAL SPX 100 (Weeklys) 24 MAR 17 2320/2330 CALL @8.35
- SPX Broken Wing Butterfly Apr 28 BOT +1 VERTICAL SPX 100 (Weeklys) 28 APR 17 2340/2350 CALL @7.45
- SPX Broken Wing Butterfly May 5 BOT +2 VERTICAL SPX 100 (Weeklys) 5 MAY 17 2365/2375 CALL @6.95