Week in Review

Ugh. This week was a pain. Lots of crazy market moves, lots of adjustments, and not much profit to show for it. The SPX (S&P 500) ended the week at 2423.41, down -0.61%, and the RUT (Russell 2000) ended the week at 1415.36, up +0.04%. The portfolio was up +0.11% for the week.

The SPY Put Write and Delta Hedge strategy was the pain point this week. I exited the delta hedge early when the market moved down hard late in the week. The portfolio had swung to positive delta and I hit my max loss on the trade. Even with the market down for the week, the put write trade was a scratch. For the week, this strategy subtracted 14 bps from the portfolio.

The VIX Calendars strategy returned to its old losing ways. I had a tough time when volatility jumped up when the market moved down. For the week, this strategy subtracted 12 bps from the portfolio.

The SPX Broken Wing Butterfly strategy was the big winner this week. It was looking this strategy might be a problem when volatility ticked up but the market seemed to settle down by the end of the week. I was able to close out the Aug 4 trade for a +5.20% gain and the Aug 11 trade for a +4.37% gain. I also ended up making adjustments to the Jul 31 and Aug 18 trades. For the week, this strategy added 33 bps to the overall portfolio.

The RUT Iron Condors strategy was pretty quiet this week. I closed out the Jun 30 weirdor and the Aug 18 nested iron condor. For the week, the strategy added 3 bps to the portfolio.

The RUT Butterfly strategy was all over the place. I adjusted the Jul 21 trade all over the place when the market started bucking. I want to close that trade next week. I was able to open the Aug 18 trade and it wasn't really impacted by the market movement this week. For the week, the strategy added/subtracted 0 bps to/from the portfolio.

Contribution to Return

Trade Activity

  • CLOSED SPY Put Write Jun 30 0.00%
  • CLOSED SPY Delta Hedge Jul 7 -2.33%
  • CLOSED VIX Calendar Jul/Aug -5.56%
  • CLOSED RUT Weirdor Iron Condor Jun 30 +0.18%
  • CLOSED RUT Nested Iron Condor Aug 18 +5.14%
  • CLOSED SPX Broken Wing Butterfly Aug 4 +5.20%
  • CLOSED SPX Broken Wing Butterfly Aug 11 +4.37% 
  • OPENED SPY Put Write Jul 7
  • OPENED SPY Put Write Jun 14
  • OPENED VIX Calendar Sep/Oct
  • OPENED RUT Butterfly Aug 18
  • ADJUSTED SPX Broken Wing Butterfly Jul 31
  • ADJUSTED SPX Broken Wing Butterfly Aug 18 

SPX Broken Wing Butterfly Details

  • CLOSED SPX Broken Wing Butterfly Aug 4 BOT +1 IRON CONDOR SPX 100 (Weeklys) 4 AUG 17 2450/2490/2450/2375 CALL/PUT @35.10
  • CLOSED SPX Broken Wing Butterfly Aug 11 BOT +2 IRON CONDOR SPX 100 (Weeklys) 11 AUG 17 2425/2465/2425/2350 CALL/PUT @36.25
  • ADJUSTED SPX Broken Wing Butterfly Jul 31 SOLD -2 VERTICAL SPX 100 (Weeklys) 31 JUL 17 2400/2410 CALL @7.55
  • ADJUSTED SPX Broken Wing Butterfly Aug 18 BOT +2 VERTICAL SPX 100 18 AUG 17 2415/2425 CALL @7.60

Milking

  • No trades-a-milking

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