Week in Review
I don't really want to complain but I will. It's kind of frustrating watching a good week turn into a so-so week. The SPX calendars I put on are a bit of a mess right now. They're not killing me but they negated any gains from the SPX Broken Wing Butterflies. I need to get better at those calendars. Arg. Oh well. The SPX (S&P 500) ended the week at 2500.23, up +1.58%, and the RUT (Russell 2000) ended the week at 1431.71, up +2.31%. The portfolio was up +0.37% for the week.
The SPY Put Write and Delta Hedge strategy did well with the market moving solidly up. I didn't have a delta hedge on last week because the week before had freaked me out a bit. That being said, the strategy added 10 bps to the portfolio this week.
The Volatility strategy is the one that just bugged me this week. It's meant to be there to try and protect the portfolio from sudden drops but decreasing volatility and a push to record highs in the SPX meant this strategy just dragged everything down. More research is required. For the week, the strategy subtracted 42 bps from the portfolio.
The SPX Broken Wing Butterflies strategy is back in business. I had to make adjustments to the Sep 29 and Nov 17 trades by purchasing call debit spreads. For the week, the strategy added 37 bps to the portfolio.
The RUT Iron Condors was the sleeper this week. The Sep 15 trade was closed for a small loss and the Sep 29 trade looks like it will be doing the same. The Oct 31 trade was opened this week and already I had to remove the call spread. For the week, the strategy added 3 bps to the portfolio.
The RUT Butterflies strategy did nicely. I ended up buying some more calls at the beginning of the week to flatten out the T+0 line. By the end of the week, the strategy had added 29 bps to the portfolio.
Contribution to Return
Trade Activity
- CLOSED SPY Put Write Sep 15 +3.41%
- CLOSED RUT Weirdor Sep 15 -1.55%
- OPENED SPY Put Write Sep 22
- OPENED SPY Delta Hedge Sep 29
- OPENED RUT Weirdor Oct 31
- ADJUSTED SPX Broken Wing Butterfly Sep 29
- ADJUSTED SPX Broken Wing Butterfly Nov 17
SPX Broken Wing Butterfly Details
- ADJUSTED SPX Broken Wing Butterfly Sep 29 BOT +1 VERTICAL SPX 100 (Weeklys) 29 SEP 17 2450/2460 CALL @8.95
- ADJUSTED SPX Broken Wing Butterfly Nov 17 BOT +4 VERTICAL SPX 100 (Weeklys) 17 NOV 17 2465/2470 CALL @3.85
- ADJUSTED SPX Broken Wing Butterfly Nov 17 BOT +4 VERTICAL SPX 100 (Weeklys) 17 NOV 17 2470/2475 CALL @3.50
Milkinig
- No trades-a-milking