Week in Review

This was a pretty quiet week considering congress was able to pass a new health care bill and France is having an election. The SPX (S&P 500) ended the week at 2399.29, up +0.63%, and the RUT (Russell 2000) ended the week at 1397.00, down -0.25%. The portfolio ended the week up +0.56%.

The SPY Put Write and Delta Hedge strategy did nicely this week. With the S&P 500 moving up, both the put write and the delta hedge were closed out for gains. On Friday, I added another put write and some naked puts as a delta hedge. For the week, this strategy added 12 bps to the portfolio.

The VIX Calendars strategy also made money this week. That makes it two weeks in a row! I think that's a record for this strategy! It added 11 bps to the portfolio.

The SPX Broken Wing Butterflies strategy was quiet this week. I opened trades with a Jul 7 and Jul 31 expiration. There are only 4 open trades on right now. The other two expire Jun 23 and Jul 21. None of the trades are in danger right now. For the week, the strategy added 1 bp to the portfolio. Boring.

The RUT Iron Condors strategy was the big winner this week. I have May 19, Jun 2 and Jun 16 weirdor trades on right now. They are all doing pretty well and gave up a nice chunk of theta this week. The one open nested iron condor trade has only one call spread open. For the week, the strategy added 26 bps to the portfolio.

 Finally, the RUT Butterflies strategy was decent. I closed out the May 19 for a -3.66% loss. It was disappointing to take a loss on that trade. I was hoping the RUT would move big up or big down this week but instead it pretty much just sat there. I do have the Jun 16 trade on which is doing fine at this moment. For the week, the strategy added 6 bps to the portfolio.

Contribution to Return

Trade Activity

  • CLOSED SPY Put Write May 5 +1.72%
  • CLOSED VIX Calendars VXX Put May 12 +66.36%
  • CLOSED SPY Delta Hedge May 12 +0.73%
  • CLOSED RUT Butterfly May 19 -3.66%
  • OPENED SPY Put Write May 12
  • OPENED SPY Delta Hedge May 19
  • OPENED VIX Calendars VXX Put May 26
  • OPENED SPX Broken Wing Butterfly Jul 7
  • OPENED SPX Broken Wing Butterfly Jul 31

SPX Broken Wing Butterflies Details

  • OPENED SPX Broken Wing Butterfly Jul 7 SOLD -2 IRON CONDOR SPX 100 (Weeklys) 7 JUL 17 2365/2410/2365/2285 CALL/PUT @42.80
  • OPENED SPX Broken Wing Butterfly Jul 31 SOLD -2 IRON CONDOR SPX 100 (Weeklys) 31 JUL 17 2375/2425/2375/2300 CALL/PUT @46.60

Milking

  • No trades-a-milking

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