We closed out our September positions for an average return per trade of 18.17% over an average trade duration of fewer than 12 days, and our Model Portfolio return for the month was 4.56%. That kind of performance over a period characterized by a strong uptrend and falling implied volatility says a lot about the robustness of our market-neutral, long-vega, strategy. But long-term results are what’s more important, and our September profit brings us into the black for the quarter. (A quarterly performance review will be posted on the public blog sometime this week.)
The status of our open positions for October is as follows:
- SPY October/November Calendar Spread #1 (112 puts): At the bell on Friday, this position was trading at an unrealized gain on capital at risk of about 6.4%. Its base-position delta was about –30, with delta and vega per dollar at risk of about 5.3% and 5.2%, respectively.
- SPY October/November Calendar Spread #2 (116 puts): This position closed the week with a paper gain of about 8.6% and a base-position delta bias of about +16. Delta as a proportion of capital at risk was approximately 3.4%, and vega per dollar was about 4.9%
The two positions currently are working well together, giving us a double-calendar with an unrealized return of about 7.35% and a Model Portfolio gain of approximately 3.7%. Our current delta bias, as a percentage of total dollars at risk, is around –0.95%—a little bearish, but well within our risk-tolerance range.
Bottom line: With 19 days until October expiration, we’re in a great position, and we still have plenty of cash for adding to and/or adjusting our portfolio according to our strategy rules. Here’s what our portfolio P/L curve looked like at Friday’s close: