Week in Review

This was a pretty quiet trading week. Mostly, it was about rolling the weekly SPY and VXX positions. One of the RUT weirdors was closed out for a loss and a new SPX broken wing butterfly was opened. The SPX (S&P 500) ended the week at 2472.54, up +0.54%, and the RUT (Russell 2000) ended the week at 1435.84, up +0.49% for the week. The portfolio pulled up close, but in the rear, up +0.46%.

The SPY Put Write and Delta Hedge strategy had an easy go of it this week. With the market up, both the put write and the delta hedge made money. On Friday, I closed out last weeks trades and put on a new put write and a new delta hedge. For the week, the strategy added 9 bps to the portfolio.

The VIX Calendars also did well this week. Volatility ticked down a bit which generated gains in both the VIX calendars as well as the VXX puts. For the week, the strategy added 8 bps to the portfolio.

The SPX Broken Wing Butterflies did alright this week. This strategy hasn't done quite as well as I would like lately because of the relentless move upwards in the markets but I won't complain. It's still my bread and butter trade. For the week, it added 18 bps to the portfolio.

The RUT Iron Condors did okay but all three of the open trades are sitting uncomfortably delta negative. If the Russell moves higher next week, I will likely need to make adjustments on all three of the trades and I really won't be happy with that. Every time I make an adjustment, potential profit lessens. For the week, this trade add 16 bps to the portfolio.

The RUT Butterflies strategy had a tougher time this week. The push up in the RUT breached the right wall of the butterfly forcing me to move the trade. The current market price of the RUT is right inside of the tent of the butterfly. The next two weeks will be crucial as theta decay starts to pick up. If the markets quiet down, I could do alright. If not, then this trade may be lost. For the week, the strategy subtracted 5 bps from the portfolio.

Contribution to Return

Trade Activity

  • CLOSED SPY Put Write Jul 21 +1.88%
  • CLOSED SPY Delta Hedge Jul 28 +1.03%
  • CLOSED VXX Put Jul 28 +17.50%
  • CLOSED RUT Weirdor Iron Condor Jul 21 -0.36% 
  • OPENED SPY Put Write Jul 28
  • OPENED SPY Delta Hedge Aug 4
  • OPENED VXX Put Aug 11
  • OPENED SPX Broken Wing Butterfly Sep 8

SPX Broken Wing Butterfly Details

  • OPENED SPX Broken Wing Butterfly Sep 8 SOLD -2 IRON CONDOR SPX 100 (Weeklys) 8 SEP 17 2450/2490/2450/2375 CALL/PUT @36.80 

Milking

  • No trades-a-milking

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