Week in Review
Markets were relatively quiet again this week. The S&P 500 fell slightly but this time volatility stayed fairly steady, not too hot and not too cold. The SPX (S&P 500) ended the week at 2578.85, down -0.13%, and the RUT (Russell 2000) ended the week at 1492.82, up +1.19%. The portfolio made up all of the losses from the previous week, up +0.98%.
The SPY Put Write and Delta Hedge strategy went alright this week. With the markets down only slightly and volatility remaining fairly stable, the gains from last week's naked put came all from theta decay. I added another one this Friday and, with the portfolio leaning a bit more negative delta, I added a couple of naked puts as a delta hedge. For the week, the strategy added 2 bps to the portfolio return.
The Volatility strategy took another bite out of me. Volatility stayed fairly steady but both the VIX calendar and the long VXX puts are negative theta trades. Preferably, I'd like volatility to drop but if it just sits there then it hurts. For the week, this strategy subtracted 13 bps from the portfolio.
The SPX Broken Wing Butterflies strategy was the big winner this week. With volatility ending the week at about the same level as last Friday, this was a week where I was able to collect some theta. The strategy was able to make back all of the losses from last week and added back 70 bps to the portfolio.
The RUT Iron Condors had an easier time with the RUT's strong move up. I adjusted both of the weirdor trades this week so that they were sitting a little more flat delta. For the week the strategy added 22 bps to the portfolio.
The RUT Butterflies strategy was also able to take advantage of the strength in the RUT. The trade expires in 4 weeks and is entering prime theta decay territory. It's sitting pretty flat delta right in the middle of the butterfly. If the RUT doesn't move too strongly one way or the other, I hope to get out of the trade at my target gain. For the week, the strategy added 18 bps to the butterfly.
Contribution to Return
Trade Activity
- CLOSED SPY Put Write Nov 17 +2.01%
- CLOSED VXX Put Nov 17 -52.92%
- OPENED SPY Put Write Nov 24
- OPENED SPY Delta Hedge Dec 1
- OPENED VXX Put Dec 1
SPX Broken Wing Butterfly Details
- No activity
Milking
- No trades-a-milking