Week in Review
Arg. This was kind of a pain in the butt week for me. By Wednesday morning, the drop in the markets forced me out of both of my long VXX puts and persuaded me to adjust my RUT butterfly earlier than I had hoped. By the end of the week, we were sitting right about where we were at the end of last week. The SPX (S&P 500) ended the week at 2581.07, up +0.23%, and the RUT (Russell 2000) ended the week at 1508.32, down -0.06%. The portfolio was down -0.45%.
The SPY Put Write and Delta Hedge strategy did fine this week. Because the SPX was up, I was able to close out the put write for a nice gain. I opened up another one that expires next Friday. Also, because I had to close out my VXX puts, the portfolio was sitting negative delta which meant I added a delta hedge as well in the form of naked puts. For the week, the strategy added 5 bps to the portfolio.
The Volatility strategy was the bee in my bonnet this week. The move down pushed the value of my two VXX puts down below $1. This is the point at which I choose to close them out and so that's what I did. Of course the market came back later in the day but by then it was too late. I'll be adding another one on Monday and we'll see if we can get some of those losses back. For the week, the strategy subtracted 26 bps from the portfolio.
The SPX Broken Wing Butterflies was fairly quiet this week. I did end up adding a new trade expiring Jan 19th. For the week, the strategy subtracted 12 bps from the portfolio.
The RUT Iron Condors strategy did fine this week. It was looking like I might have to adjust when the market was down in the dumps mid-week but it all came back. It looks like I will close out the Nov 17 trade next week and probably open up the Dec 15 trade. For the week, the strategy added 12 bps to the portfolio.
The RUT Butterflies strategy was frustrating. When the market moved down on Wednesday, I adjusted the trade. Normally, I wait until the end of the day to adjust but I got a little freaked out and adjusted early. That turned out to be a mistake. Oh well. I'll likely keep the trade open to the end of next week and then just close the thing out, likely for a loss. On Friday I opened the Dec 15 trade. For the week, the strategy subtracted 25 bps from the portfolio.
Contribution to Return
Trade Activity
- CLOSED SPY Put Write Oct 27
- CLOSED VXX Put Oct 27
- CLOSED VXX Put Nov 3
- CLOSED VXX Put Nov 10
- OPENED SPY Put Write Nov 3
- OPENED SPY Delta Hedge Nov 8
- OPENED VXX Put Nov 10
- OPENED SPX Broken Wing Butterfly Jan 19
- OPENED RUT Butterfly Dec 15
SPX Broken Wing Butterfly Details
- OPENED SPX Broken Wing Butterfly Jan 19 SOLD -4 IRON CONDOR SPX 100 (Weeklys) 19 JAN 18 2560/2610/2560/2480 CALL/PUT @46.00
Milking
- No trades-a-milking