Week in Review

This ended up being a busy week, not because of any major market movements, but just because I'm not a fan of the surprise unrealized gains/losses on section 1256 contracts that suddenly appear when my broker sends me my statements for 2017. I prefer to know where I stand right now. I could probably figure it out if I kept better track of everything but I'm kind of lazy. As a result, I like to pretty much close all of 1256 contracts out at the end of the year and reopen them back up in the new year. The SPX (S&P 500) ended the week at 2673.61, down -0.36%, and the RUT (Russell 2000) ended the week at 1535.51, -0.48%. The portfolio was down slightly, -0.01%.

The SPY Put Write and Delta Hedge strategy was fairly quiet. Low volatility means I'm not getting much premium for the short puts. I closed out the trade expiring Friday and opened a new short put expiring next Friday. For the week, the strategy subtracted 2 bps from the portfolio.

The Volatility strategy was a little busier than normal. I closed out the Jan/Feb calendar for a small gain and opened up the Feb/Mar calendar. Also, as usual, I closed out this week's VXX put and opened a new one expiring two weeks out. For the week, the strategy subtracted 5 bps from the portfolio.

The SPX Broken Wing Butterfly strategy was busy. I closed out a bunch of trades but I will be reopening many of them in the new year. For the week, the strategy added 16 bps to the portfolio this week.

The RUT Iron Condors strategy did relatively well. It was time to close out the Jan 12 trade. I'll be opening a Feb trade next week and I'll reopen the Jan 26 trade and let that soak a couple more weeks. For the week, the strategy added 4 bps to the portfolio this week.

The RUT Butterflies strategy was a bit of a disappointment this month. I closed it out for a small loss. When I first entered it, I put it on with a bit of a more defensive position. That limited my gains and losses and was a problem with the market just kind of bouncing around in a range. I'll be opening the Feb trade next week. For the week, the strategy subtracted 14 bps from the portfolio.

Contribution to Return

20171229 Week in Review.jpeg

Trade Activity

  • CLOSED SPY Put Write Dec 29 +0.93%
  • CLOSED VXX Put Dec 29 +49.42%
  • CLOSED VIX Calendar Jan 2018 / Feb 2018 +3.97%
  • CLOSED SPX Broken Wing Butterfly Dec 29 +1.72%
  • CLOSED SPX Broken Wing Butterfly Jan 19 -0.94%
  • CLOSED SPX Broken Wing Butterfly Jan 31 +1.72%
  • CLOSED SPX Broken Wing Butterfly Feb 16 -0.45%
  • CLOSED SPX Broken Wing Butterfly Feb 28 -0.42%
  • CLOSED SPX Broken Wing Butterfly Mar 16 +0.51%
  • CLOSED Weirdor Jan 12 +1.94%
  • CLOSED Weirdor Jan 26 +1.51%
  • CLOSED RUT Butterfly Jan 19 -2.03%
  • OPENED SPY Put Write Jan 5
  • OPENED VXX Put Jan 12

SPX Broken Wing Butterfly Details

  • CLOSED SPX Broken Wing Butterfly Dec 29 BOT +4 IRON CONDOR SPX 100 (Quarterlys) 29 DEC 17 2510/2530/2510/2435 CALL/PUT @20.05
  • CLOSED SPX Broken Wing Butterfly Jan 19 BOT +4 IRON CONDOR SPX 100 (Weeklys) 19 JAN 18 2560/2590/2560/2480 CALL/PUT @30.30
  • CLOSED SPX Broken Wing Butterfly Jan 31 BOT +4 IRON CONDOR SPX 100 (Weeklys) 31 JAN 18 2560/2600/2560/2475 CALL/PUT @40.00
  • CLOSED SPX Broken Wing Butterfly Feb 16 BOT +4 IRON CONDOR SPX 100 (Weeklys) 16 FEB 18 2590/2625/2590/2510 CALL/PUT @36.00
  • CLOSED SPX Broken Wing Butterfly Feb 28 BOT +4 IRON CONDOR SPX 100 (Weeklys) 28 FEB 18 2620/2660/2620/2540 CALL/PUT @40.65
  • CLOSED SPX Broken Wing Butterfly Mar 16 BOT +4 IRON CONDOR SPX 100 (Weeklys) 16 MAR 18 2670/2720/2670/2590 CALL/PUT @46.70

Milking

  • No trades-a-milking

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