Week in Review

This was a week of ups and downs. The portfolio seems sort of twitchy and I'm having trouble controlling the RUT Butterfly trade expiring in August. Earnings season is in full swing and the markets are close to their all-time highs. The SPX (S&P 500) ended the week at 2472.10, down -0.02% for the week and the RUT (Russell 2000) ended the week at 1429.26, down -0.46%. The portfolio posted some respectable gains finishing off the week up +0.34%.

The SPY Put Write and Delta Hedge strategy did so-so this week. With the market moving slightly downwards, any gains in this strategy came solely from theta decay. For the week, the strategy added 3 bps to the overall portfolio.

The VIX Calendars had a respectable week. With the VIX trading near record lows the VXX Puts have been doing well but the VIX Calendar trades have been slowly leaking theta. For the most part, these two pieces of the strategy cancel each other out. For the week, this strategy added 8 bps to the portfolio.

The SPX Broken Wing Butterflies had a quiet week. I adjusted the Sep 1 trade when the market pushed higher earlier this week. Other than that, nothing happened. For the week the strategy neither added to nor subtracted from the portfolio.

The RUT Iron Condors strategy had a pretty good week. I did have to make some adjustments to the Aug 18 and Aug 31 weirdors when the Russell 2000 pushed higher on Tuesday. Thankfully, the index pulled back from those highs and I was able to close out the nested iron condor trade for about a 5% gain. For the week, this strategy added 19 bps to the overall portfolio.

The RUT Butterflies strategy was a struggle this week. The RUT seemed like it was all over the place which is troublesome in the last few weeks of a trade. I'll be closing out the Aug trade at the end of next week. I opened the Sep trade earlier this week. This strategy added 4 bps to the portfolio.

Contribution to Return

Trade Activity

  • CLOSED SPY Put Write Jul 28 +0.82%
  • CLOSED SPY Delta Hedge Aug 4 +0.36%
  • CLOSED VXX Put Aug 4 +50.59%
  • CLOSED RUT Nested Iron Condor Sep 15 +5.13%
  • OPENED SPY Put Write Aug 4
  • OPENED VXX Put Aug 18
  • OPENED RUT Butterfly Sep 15
  • ADJUSTED SPX Broken Wing Butterfly Sep 1

SPX Broken Wing Butterfly Details

  • ADJUSTED SPX Broken Wing Butterfly Sep 1 BOT +2 VERTICAL SPX 100 (Weeklys) 1 SEP 17 2460/2465 CALL @3.65

Milking

  • No trades-a-milking

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