Week in Review

The mischievous North Korea launches an ICBM into the Sea of Japan a day or two ahead of the G20 summit and the world trembles. Then on Friday a nice jobs report comes out and all is well? Whatever. The markets were flat this week. The SPX (S&P 500) ended the week at 2425.18, up +0.07%, and the RUT (Russell 2000) ended the week at 1415.84, up +0.03%. The portfolio was up +0.35%.

The SPY Put Write and Delta Hedge strategy did okay this week. Both last week's put write and delta hedge were closed out for small gains. Another put write was added this week. This strategy added 7 bps to the portfolio.

The VIX Calendars strategy took its piece of flesh out of me subtracting 10 bps from the portfolio.

Surprise, surprise, surprise! The SPX Broken Wing Butterflies strategy again added to it's win streak. I closed out the Jul 14, Jul 21 and Aug 25 trades. Open right now are the Jul 31, Aug 18 and Sep 15 trades. I will likely add to that inventory next week or the next. This strategy added 47 bps to the portfolio this week.

The RUT Iron Condors strategy hit a bit of a rough patch this week. I still have the Jul 21 trade on which will likely be closed out for a loss when it expires. I added Aug 18 and Aug 31 weirdor iron condors and a Sep 15 nested iron condor. For the week, this strategy subtracted 17 bps from the portfolio.

Finally, the RUT Butterflies strategy did okay this week. I finally closed out the Jul 21 trade for a nice gain. The Aug 18 trade currently has a small unrealized gain. We'll see how things go in the coming weeks. For this week, this strategy added 8 bps to the portfolio.

Contribution to Return

Trade Activity

  • CLOSED SPY Put Write Jul 7 +0.48%
  • CLOSED SPY Delta Hedge Jul 14 +0.30%
  • CLOSED VXX Put Jul 14 +1.55%
  • CLOSED SPX Broken Wing Butterfly Jul 14 +4.60%
  • CLOSED SPX Broken Wing Butterfly Jul 21 +6.71%
  • CLOSED SPX Broken Wing Butterfly Aug 25 +4.99%
  • CLOSED RUT Butterfly Jul 21 +8.16%
  • OPENED SPY Put Write Jul 14    
  • OPENED VXX Put Jul 28
  • OPENED RUT Weirdor Iron Condor Aug 18
  • OPENED RUT Weirdor Iron Condor Aug 31
  • OPENED RUT Nested Iron Condor Sep 15 

SPX Broken Wing Butterfly Details

  • CLOSED SPX Broken Wing Butterfly Jul 14 BOT +2 IRON CONDOR SPX 100 (Weeklys) 14 JUL 17 2375/2405/2375/2300 CALL/PUT @27.15
  • CLOSED SPX Broken Wing Butterfly Jul 21 BOT +2 IRON CONDOR SPX 100 21 JUL 17 2325/2360/2325/2250 CALL/PUT @34.40
  • CLOSED SPX Broken Wing Butterfly Aug 25 BOT +2 IRON CONDOR SPX 100 (Weeklys) 25 AUG 17 2425/2470/2425/2350 CALL/PUT @39.85

Milking

  • No trades-a-milking

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