Week in Review
Alright, I'm psyched! This past week was one of my quietest ever. I was visiting family and friends and preparing to run a marathon (new personal best! woohoo!) and so trading took a bit of a back seat. Thankfully, the markets were quiet and I was able to get away with closing and opening my weekly SPY and VXX trades and leave everything else alone. The SPX (S&P 500) ended the week at 2575.21, up +0.86%, and the RUT (Russell 2000) ended the week at 1509.25, up +0.44%. The portfolio was up +0.48%.
The SPY Put Write and Delta Hedge strategy did fine this week. The upward moving S&P meant last week's put write could be closed out at close to a maximum gain. I added a new put write but again decided to not add a delta hedge. Lately, the SPX and RUT have quieted down a bit and with the portfolio sitting pretty delta neutral, no hedge has been needed. For the week, the strategy added 5 bps to the portfolio.
The Volatility strategy has been benefitting from the pretty solid gains in the long VXX puts and the lack of losses (which is what I usually see) in the VIX calendars. For this week, the strategy added 8 bps to the portfolio.
The SPX Broken Wing Butterfly strategy was oh so quiet. No new trades added. No open trades closed. No adjustments. Just sitting and waiting. All that waiting added 1 bp to the portfolio's overall return.
The RUT Iron Condors strategy is benefitting from a bit of back and forth in the RUT over the past couple of weeks. Both open trades are sitting pretty neutral and slowly collecting theta. For the week, the strategy added 15 bps to the portfolio this week.
The RUT Butterfly strategy had a good week. The stronger RUT helped push the one open trade back up to near break even. With about four weeks left until expiration, we are sitting in prime theta earning territory and it would be nice if the markets just sat around so I could make some money on the Nov trade. We shall see. For the week, the strategy added 18 bps to the portfolio.
Contribution to Return
Trade Activity
- CLOSED SPY Put Write Oct 20 +1.43%
- CLOSED VXX Put Oct 20 +77.10%
- OPENED SPY Put Write Oct 27
- OPENED VXX Put Nov 3
SPX Broken Wing Butterfly details
- No activity
Milking
- No trades-a-milking