Week in Review
I've said it before and I'll say it again...I hate the RUT. That thing just drives me crazy with the way it bounces around. The SPX (S&P 500) ended the week at 2602.42, up +0.91%, and the RUT (Russell 2000) ended the week at 1519.16, up +1.76%. Ugh. The portfolio ended the week up +0.25%.
The SPY Put Write and Delta Hedge strategy did well this week. With the SPY up strong, it was easy to notch near maximum gains in both the put write and delta hedge strategies. Both were closed out on Friday and rolled forward to next Friday. For the week, the strategy added 14 bps to the strategy.
The Volatility strategy also did well with the VXX continuing its march downwards. I rolled forward the Nov 24 put to Dec 8. For the week, the strategy added 24 bps to the portfolio.
The SPX Broken Wing Butterflies strategy had some respectable gains. The good move upwards early this week forced me to make some adjustments to the Dec 15, Dec 29 and Jan 31 trades. At the end of the week, I opened a Feb 16 trade. For the week, the strategy added 40 bps to the portfolio.
The RUT Iron Condors trade did fairly well considering how strongly the RUT moved up. I did end up removing a previously added put debit spread and I also removed half of the call credit spreads on both the Dec 15 and Dec 29 weirdors. It would be nice if the RUT settles down a bit but we shall see. For the week, the strategy added 6 bps to the portfolio.
Finally, the RUT Butterflies strategy was just painful. Ugh. It was looking so good at the end of last week. We were entered a period of really nice theta decay with the trade expiring in just a few weeks but that also meant the gamma was increasing as well. That meant I wasn't going to be able to handle very easily a strong movement in the RUT up or down. The strong move up killed the trade and subtracted 61 bps from the portfolio. I always thought that having the trade positioned so that the top part of the butterfly was positioned just left of the current market price was best because that offered me maximum theta at a point where theta decay was increasing rapidly. Now I am starting to think that it might be better to position the trade so that the current market price is sitting just in the little sea of death over the right wing of the butterfly. At least there it would be able to handle strong moves up or down. I'll have to give that a go on the Jan trade.
Contribution to Return
Trade Activity
- CLOSED SPY Put Write Nov 24 +1.63%
- CLOSED SPY Delta Hedge Dec 1 +1.10%
- CLOSED VXX Put Nov 24 -34.20%
- OPENED SPY Put Write Dec 1
- OPENED SPY Delta Hedge Dec 8
- OPENED VXX Put Dec 8
- OPENED SPX Broken Wing Butterfly Feb 16
- ADJUSTED SPX Broken Wing Butterfly Dec 15
- ADJUSTED SPX Broken Wing Butterfly Dec 29
- ADJUSTED SPX Broken Wing Butterfly Jan 31
SPX Broken Wing Butterfly Details
- OPENED SPX Broken Wing Butterfly Feb 16 SOLD -4 IRON CONDOR SPX 100 (Weeklys) 16 FEB 18 2590/2640/2590/2510 CALL/PUT @46.95
- ADJUSTED SPX Broken Wing Butterfly Dec 15 BOT +2 VERTICAL SPX 100 (Weeklys) 15 DEC 17 2520/2525 CALL @4.60
- ADJUSTED SPX Broken Wing Butterfly Dec 15 BOT +2 VERTICAL SPX 100 (Weeklys) 15 DEC 17 2515/2525 CALL @9.20
- ADJUSTED SPX Broken Wing Butterfly Dec 29 BOT +4 VERTICAL SPX 100 (Quarterlys) 29 DEC 17 2540/2555 CALL @12.75
- ADJUSTED SPX Broken Wing Butterfly Jan 31 BOT +1 VERTICAL SPX 100 (Weeklys) 31 JAN 18 2610/2625 CALL @8.25
Milking
- No trades-a-milking