Week in Review
This was another fairly quiet week. Not many surprises in the markets meant trading was fairly uneventful. The new tax plan was passed and signed as expected and the markets have generally been satisfied with the moves of the current administration. The SPX (S&P 500) ended the week at 2683.34, up +0.28%, and the RUT (Russell 2000) ended the week at 1542.93, up +0.82%. The portfolio was up +0.16%.
The SPY Put Write and Delta Hedge strategy was fine this week. A positive return but not much of a gain with volatility so low. Last week's trade was closed and the current trade, which expires next Friday, was opened. I still don't have a delta hedge on right now. I'll look at that again in the new year. For the week, the strategy added 2 bps to the portfolio.
The Volatility strategy didn't do a whole lot. I was able to close out one of the VXX trades for a nice gain and put another one on for two weeks out. Still, with volatility ticking up slightly, the open VXX puts lost some value. As a result, the strategy subtracted 3 bps from the portfolio.
The SPX Broken Wing Butterflies strategy was quiet. I opened up a Mar 16 trade and made an adjustment to the Feb 28 trade. For the week, the strategy subtracted 3 bps from the portfolio.
The RUT Iron Condors strategy went fine. I made a couple of adjustments to the two weirdors as the market moved up. For the week, the strategy added 5 bps to the portfolio.
The RUT Butterflies strategy went well this week but I really haven't been too happy with this particular trade. After getting kind of stomped in the Dec trade, I put on the Jan trade more conservatively with an expectation of a big jump up or down. That hasn't really materialized and I've been losing theta. I'm probably just going to close this trade and give up on it next week and wait for the next expiration. For the week, it contributed 15 bps to the portfolio.
Contribution to Return
Trade Activity
- CLOSED SPY Put Write Dec 22 +1.83%
- CLOSED VXX Put Dec 22 +53.49%
- OPENED SPY Put Write Dec 29
- OPENED VXX Put Jan 5
- OPENED SPX Broken Wing Butterfly Mar 16
SPX Broken Wing Butterfly Details
- OPENED SPX Broken Wing Butterfly Mar 16 SOLD -4 IRON CONDOR SPX 100 (Weeklys) 16 MAR 18 2670/2720/2670/2590 CALL/PUT @46.95
- ADJUSTED SPX Broken Wing Butterfly Feb 28 BOT +2 VERTICAL SPX 100 (Weeklys) 28 FEB 18 2660/2670 CALL @7.35
Milking
- No trades-a-milking