Week in Review
Another quiet week. The bleeding slowed a bit but didn't completely stop. It will take awhile to recover from the first three weeks of the year where the markets did nothing but shoot upwards. This portfolio is trying to be market neutral but that doesn't work so well when the market goes way down or way up. The SPX (S&P 500) ended the week at 2810.30, up +0.86%, and the RUT (Russell 2000 ended the week at 1597.63, up +0.36%. The portfolio was down -0.18%.
The SPY Put Write and Delta Hedge did well again this week. This strategy will always do well in a market that simply goes up. I closed out last week's put write and the delta hedge and just opened up a new put write this week. I was a little apprehensive with the government shutdown looming and so I decided to lay off a bit this week. The strategy added 10 bps to the portfolio.
The Volatility strategy had a bit of trouble keeping up. The VIX calendar is bleeding money and the VXX didn't move a whole lot over the past week. This strategy subtracted 13 bps from the portfolio.
The SPX Broken Wing Butterflies strategy continues to disappoint. There were no new trades and no adjustments required this week. Next week will probably bring some adjustments and a new April trade. For this week, the strategy subtracted 21 bps.
The RUT Iron Condors was the one bright spot in the bunch although I think it benefitted from some freaky closing prices that I think I will give completely back come Monday. There were no adjustments needed and no new trades. For the week, the strategy added 27 bps to the portfolio.
The RUT Butterflies strategy had another rough week with the RUT going down, up, down, and then up again. Ugh. This trade will likely need to be adjusted next week. We are entering prime theta earning territory for the Feb trade but it could also be a rough ride since gamma will also be high. For the week, the strategy subtracted 21 bps from the portfolio.
Contribution to Return
Trade Activity
- CLOSED SPY Put Write Jan 19 +2.05%
- CLOSED SPY Delta Hedge Jan 26 +0.72%
- CLOSED VXX Put Jan 19 -1.97%
- OPENED SPY Put Write Jan 26
- OPENED VXX Put Feb 2
SPX Broken Wing Butterfly details
- No activity
Milking
- No trades-a-milking