Week in Review
At the table in the kitchen, there were three bowls of porridge. The first bowl, the RUT (Russell 2000) was too hot, ending the week at 1421.71, up +1.16%. The second bowl, the NDX (NASDAQ 100) was too cold, ending the week at 5741.94, down -2.37%. The third bowl, the SPX (S&P 500) was just right, or maybe a tad cold, ending the week at 2431.77, down -0.30%. This was no Goldilocks scenario for the portfolio. I moaned a bit when the RUT went higher but I didn't get mauled. For the week, the portfolio was down -0.04%.
The SPY Put Write and Delta Hedge strategy was doing fine until the market started heading down late Friday morning. For the week, the strategy added nothing to and subtracted nothing from the portfolio.
The VIX Calendars strategy decided to remind me what normal feels like. I did fine with the VXX puts but the VIX calendars were another story. For the week, the strategy subtracted 9 bps from the portfolio.
The SPX Broken Wing Butterflies strategy had a good run this week and the strategy is at the high water mark for the year. It's been relatively quiet this month but if the market settles down a bit this strategy might start pulling in some more theta. For the week, the strategy added 36 bps to the portfolio.
The RUT Iron Condors strategy was definitely challenged this week by the RUT's strong move. Both the Jun 30 and Jul 21 weirdors are now losers and the nested iron condor I opened also moved into the loss column. For the week, the strategy subtracted 27 bps from the portfolio.
The RUT Butterflies strategy was mostly quiet this week. It moved from a gain to a loss to mostly a scratch by the close on Friday. For the week, the strategy subtracted 4 bps from the portfolio.
Contribution to Return
Trade Activity
- CLOSED SPY Put Write Jun 9 +1.56%
- CLOSED SPY Delta Hedge Jun 16 +1.21%
- CLOSED VXX Put Jun 16 +27.23%
- OPENED SPY Put Write Jun 16
- OPENED SPY Delta Hedge Jun 23
- OPENED VXX Put Jun 30
- OPENED VIX Calendar Aug/Sep
- OPENED RUT Nested Iron Condor Aug 18
- ADJUSTED SPX Broken Wing Butterfly Jul 14
SPX Broken Wing Butterflies Activity
- ADJUSTED SPX Broken Wing Butterfly Jul 14 BOT +2 VERTICAL SPX 100 (Weeklys) 14 JUL 17 2405/2420 CALL @11.25
Milking
- No trades-a-milking