Week in Review

This was a bit of a pain in the butt week. The markets moved lower on Monday and volatility ticked up a bit forcing me to take some losses on the normally quiet SPY Put Write and Delta Hedge and the Volatility strategies. The SPX (S&P 500) ended the week at 2461.43, down -0.61%, and the RUT (Russell 2000) ended the week at 1399.43, down -1.00%. The portfolio ended the weekly slightly better, but still down, -0.31%.

The SPY Put Write and Delta Hedge strategy took some heat this week. I closed out both the put write and the delta hedge at losses this week. I added another put write on Friday but left off the delta hedge. For the week, the strategy subtracted 14 bps from the portfolio.

The Volatility strategy also suffered this week. I closed out the longer term Sep/Oct VIX calendar at a loss. Also, the long shorter term VXX puts, which were meant to pay for VIX calendars, came off at a loss. All in all, the strategy subtracted 14 bps from the portfolio.

The SPX Broken Wing Butterflies strategy did reasonably well. With the modest drop in the market and the increasing volatility, it held its own. I adjusted the Oct 20 trade by pushing out the calls and I added a Nov 30 trade. For the week, the strategy added 1 bp to the portfolio.

The RUT Iron Condors strategy was quiet this week. No trades and no adjustments. I had wanted to add an Oct trade this week but I will probably wait until next week to do so. There are currently a couple of Sep trades open. The strategy subtracted 2 bps from the portfolio.

The RUT Butterflies strategy was also quiet. There was nothing on until Thursday when I added the Oct trade. For the week, the strategy subtracted 3 bps from the portfolio.

Contribution to Return

20170908 Week in Review.jpeg

Trade Activity

  • CLOSED SPY Put Write Sep 8 -1.45%
  • CLOSED SPY Delta Hedge Sep 15 -2.15%
  • CLOSED VIX Sep/Oct Calendar -31.25
  • CLOSED VXX Put Sep 22 -8.59%
  • CLOSED VXX Put Sep 29 -19.39%
  • OPENED SPY Put Write Sep 15
  • OPENED VXX Put Sep 29
  • OPENED SPX Calendar Oct 27/Nov 17
  • OPENED RUT Butterfly Oct 20
  • OPENED SPX Broken Wing Butterfly Nov 30
  • ADJUSTED SPX Broken Wing Butterfly Oct 20

SPX Broken Wing Butterfly details

  • OPENED SPX Broken Wing Butterfly Nov 30 SOLD -4 IRON CONDOR SPX 100 (Weeklys) 30 NOV 17 2450/2500/2450/2375 CALL/PUT @48.70
  • ADJUSTED SPX Broken Wing Butterfly Oct 20 SOLD -1 VERTICAL SPX 100 (Weeklys) 20 OCT 17 2440/2450 CALL @7.20

Milking

  • No trades-a-milking

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