Week in Review

I don't know if I've mentioned this before but I think I really hate trading. Freakin' RUT. Even though this turned out to be a decent week, as I claw my way back closer to even for the month, that freakin' RUT went on a tear and stole all a bunch of theta from me. The SPX (S&P 500) ended the week at 2348.69, up +0.85% and the RUT ended the week at 1379.85, up +2.57%. The portfolio was up +0.76% for the week.

The SPY Put Write and Delta hedge was decent this week. The delta hedge was closed for a slight loss and the put write was closed for a nice gain. Because the portfolio was leaning positive delta, a naked call was opened as the delta hedge for the week. For the week, the strategy added 5 bps to the portfolio.

The VIX Calendars was again a pain in the butt. I think I just like the pain. For the week, the strategy subtracted 6 bps from the portfolio.

The SPX Broken Wing Butterflies did nicely as the market moved up a bit and volatility came out. The Apr 21 trade was closed out for a nice gain. I opened up two new trades: Jun 23 and Jul 21. For the week, the strategy added 35 bps to the portfolio.

The RUT Iron Condors strategy is getting a little heavy on trades. Before this week started, I had two weirdors and a nested iron condor. This week I added two more weirdors expiring Jun 2 and Jun 16. I'm hoping to bring in a lot of theta from this strategy over the coming weeks or maybe this heavy concentration will destroy me. We shall see. For this week, it added 26 bps to the portfolio.

The RUT Butterflies strategy did reasonably well but I was perturbed by the RUT shooting straight up this week. Now the RUT is sitting outside of the tent of my May butterfly and that trade is entering it's prime theta earning period with only about 3 weeks left before I am planning to close it. I added a Jun butterfly with the RUT sitting inside the tent. I may just let these two trades play off of one another. One will lose and one will gain...we'll see. For the week, the portfolio added 16 bps to the portfolio. 

Contribution to Return

Trade Activity

  • CLOSED SPX Broken Wing Butterfly Apr 21 +4.75%
  • CLOSED SPY Put Write Apr 21 +2.61%
  • CLOSED SPY Delta Hedge Apr 28 -0.20%
  • CLOSED VXX Put Apr 28 -48.12%
  • OPENED VXX Put May 12
  • OPENED SPY Put Write Apr 28
  • OPENED SPY Delta Hedge May 5
  • OPENED RUT Weirdor Iron Condor Jun 2
  • OPENED RUT Weirdor Iron Condor Jun 16
  • OPENED RUT Butterfly Jun 16
  • OPENED SPX Broken Wing Butterfly Jun 23
  • OPENED SPX Broken Wing Butterfly Jul 21

SPX Broken Wing Butterfly Details

  • ADJUSTED SPX Broken Wing Butterfly Apr 21 BOT +2 VERTICAL SPX 100 21 APR 17 2250/2280 CALL @ 30.00
  • CLOSED SPX Broken Wing Butterfly Apr 21 BOT +2 VERTICAL SPX 100 21 APR 17 2175/2250 PUT @ 0.00
  • OPENED SPX Broken Wing Butterfly Jun 23 SOLD -2 IRON CONDOR SPX 100 (Weeklys) 23 JUN 17 2335/2380/2335/2265 CALL/PUT @42.90
  • OPENED SPX Broken Wing Butterfly Jul 21 SOLD -2 IRON CONDOR SPX 100 21 JUL 17 2325/2375/2325/2250 CALL/PUT @48.35

Milking

  • No trades-a-milking

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