Last week we booked a 6.34% Model Portfolio return for June, compared to a 2.74% return for the S&P 500 Index and a 4.35% return for the CBOE S&P 500 Volatility Arbitrage Index. For the record, here are the details:
- SPY June/July DD#1 (98/103/113/118): We closed this position for a 7.36% return on capital at risk.
- SPY June/July DD#2 (103/108/116/121): We exited this position in our target return range, for an 18% return on capital at risk.
Our one open position for July (so far) is about where we entered it:
- SPY July/August CS (112 puts): In the final minutes of trading this afternoon, this position was mid-priced around $1.47, for an unrealized loss of 1.3% and negligible (0.33%) Model Portfolio loss. Our base-position delta was slightly positive, at +16—which is about where we want it given our +50 base-position delta.
Any significant move higher (40+ points on the S&P) should give us an opportunity to open another July position, at a higher strike; a drop below SPY $108.60 would trigger an adjustment trade.