Week in Review
Meh. Busy work week meant little trading. That's probably for the best since I likely would have been tempted to make more adjustments to trades rather than just let them be. The SPX (S&P 500) ended the week at 2549.33, up +1.19%, and the RUT (Russell 2000) ended the week at 1510.22, up +1.30%. The portfolio made some respectable gains, up +0.34%.
The SPY Put Write and Delta Hedge strategy again did just fine this week with the market moving up. The put write from last week was closed and a new one was opened this Friday. I did not put on a delta hedge because the portfolio was sitting pretty flat. The strategy added 3 bps to the portfolio.
The Volatility strategy was the big winner this week. Wait, what? I can't believe I just wrote that! I must be writing this from some bizarro world. Anyways...this week I closed out the Oct/Nov VIX calendar for a smaller loss than I expected and I also closed out a long VXX put for a nice gain. For the week, the strategy added 17 bps to the portfolio return.
The SPX Broken Wing Butterflies strategy had some activity. I closed the Nov 17 trade for a +4.71% gain and I opened up a Dec 29 trade. It was pretty quiet this week with the strategy adding 2 bps to the overall portfolio.
The RUT Iron Condors strategy also had some activity. I opened up a Nov 17 weirdor trade. So far it's sitting with a small gain and it would be nice if the RUT would settle down a bit so I don't have to remove the short call spread. This strategy added 3 bps to the portfolio's return.
Finally, the RUT Butterflies strategy was uneventful this week. With the RUT moving higher, the market is sitting right in that sea of death part of the trade. Decaying theta is my enemy right now. Contrary to what I want for my weirdor trade, I'd actually like to see some more movement in the RUT for this trade by either pulling back into the tent of the trade or pushing forward up the long call side. Stay tuned. For the week, the strategy added 9 bps to the portfolio.
Contribution to Return
Trade Activity
- CLOSED SPY Put Write Oct 6 +1.64%
- CLOSED VIX Calendar Oct/Nov -4.33%
- CLOSED VXX Put Oct 6 +32.15%
- CLOSED SPX Broken Wing Butterfly Nov 17 +4.71%
- OPENED SPY Put Write Oct 13
- OPENED VIX Calendar Dec/Jan
- OPENED VXX Put Oct 20
- OPENED SPX Broken Wing Butterfly Dec 29
- OPENED RUT Weirdor Nov 17
SPX Broken Wing Butterfly Activity
- CLOSED SPX Broken Wing Butterfly Nov 17 BOT +4 IRON CONDOR SPX 100 (Weeklys) 17 NOV 17 2425/2465/2425/2350 CALL/PUT @39.85
- OPENED SPX Broken Wing Butterfly Dec 29 SOLD -4 IRON CONDOR SPX 100 (Quarterlys) 29 DEC 17 2510/2555/2510/2435 CALL/PUT @43.75
Milking
- No trades-a-milking