Week in Review
Wow, this market just keeps going up, up, up and the value of portfolio keeps going down, down, down. At some point it would be nice if the market took a bit of a breather. Until then, I will continue to put on trades and continue to try and do a better job. For the week, the SPX (S&P 500) ended at a level of 2872.87, up a blistering +2.23%, and the RUT (Russell 2000) ended at 1608.06, up +0.65%. The portfolio was down -0.08%.
The SPY Put Write and Delta Hedge did well, as expected with an up market. I closed one put write from last week and opened a new one this week. The strategy added 10 bps to the portfolio return.
The Volatility strategy took its piece of flesh from me this week. The VIX calendar really took a turn for the worse and the VXX rose over the past week, not good for long puts. I closed out the VIX and didn't bother to open a new one. For the week, the strategy subtracted 32 bps from the portfolio.
The SPX Broken Wing Butterflies strategy turned around and started making that long road back to profitability. I opened the Apr 20 trade and adjusted the Mar 29 trade by purchasing a call debit spread to try and deal with the relentless move upwards in the SPX. For the week, the strategy added 11 bps to the portfolio.
The RUT Iron Condors had a quiet week. The Jan 26 weirdor was closed and I opened the Mar 9 weirdor. I adjusted the Feb 23 weirdor by closing one of the call spreads. For the week, the strategy added 1 bp to the portfolio.
The RUT Butterflies strategy was simply fine. I made an adjustment to the Feb 16 butterfly and opened the Mar 16 butterfly. For the week, the strategy added 2 bps to the portfolio.
Contribution to Return
Trade Activity
- CLOSED SPY Put Write Jan 26 +2.72%
- CLOSED VIX Calendar Feb/Mar -32.53%
- CLOSED VXX Put Jan 26 -32.33%
- CLOSED RUT Weirdor Jan 26 +1.18%
- OPENED SPY Put Write Feb 2
- OPENED VXX Put Feb 2
- OPENED SPX Broken Wing Butterfly Apr 20
- OPENED RUT Weirdor Mar 9
- OPENED RUT Butterfly Mar 16
- ADJUSTED SPX Broken Wing Butterfly Mar 29
SPX Broken Wing Butterfly Details
- OPENED SPX Broken Wing Butterfly Apr 20 SOLD -4 IRON CONDOR SPX 100 (Weeklys) 20 APR 18 2830/2880/2830/2750 CALL/PUT @49.05
- ADJUSTED SPX Broken Wing Butterfly Mar 29 BOT +4 VERTICAL SPX 100 (Quarterlys) 29 MAR 18 2765/2775 CALL @8.05
Milking
- No trades-a-milking