Despite consistently low IV, our March trades are doing well—but first a review of the February positions we closed out over the past week:
- SPY Feb/Mar Double-Calendar #1 – We closed this trade on Monday for a 35.81% loss…but our strategy rules made sure we had plenty of offsetting hedge positions.
- SPY Feb/Mar Double-Calendar #2 – Our other position entered in the earlier part of the cycle produced a 4.88% profit.
- SPY Feb/Mar Double-Calendar #3 – Hit the upper end of our target profit range for double-calendars with this one, with a 19.10% return.
- SPY Feb/Mar Calendar Spread Hedge – This hedge trade put us above breakeven for the month, with a return of 30.19% on a half-size position.
Our average return per SPY trade was 4.59%, and our Model Portfolio return was, considering the circumstances, quite respectable, at 0.19%.
February Supplemental Trades
The big winners for this month were the Supplemental Trades:
- XLE Feb/Mar Double-Calendar #1 – Much like our initial SPY trade, we took a loss on the opening XLE position: on a percentage basis, our loss was 17.99%.
- XLE Feb/Mar Double-Calendar #2 – We offset much our the initial loss with this position, gaining 9.86%.
- XLE Feb/Mar CS #1 –This offsetting trade handed us a generous 24.29%.
- XLE Feb/Mar CS #2 – Our big winner as energy continued to rally was this last hedge trade, with a 31.75% profit.
Average return per trade was about 11.98%, and Model Portfolio return was identical…evidence that a combination of calendar trades on different ETFs can diversify risk.
After a technical/expiration-driven rally mid-day, it looks like we’re going to end the day nearly flat on the major indices. The neutral trading has benefited our open March Positions:
- SPY March/April Double-Calendar #1 (128/134) – About 20 minutes before the close, this position was trading at about $1.79, for a 13.3% return on capital at risk.
- SPY March/April Double-Calendar #2 (132/137) –This position was mid-priced around $1.95, for a return on capital at risk of about 24%.
- IBM March/April Calendar Spread – We’re showing a profit of about 5.2% after just one day in this initial Supplemental Trade. Delta in proportion to capital at risk is about 1.1%
Our current core (SPY) Model Portfolio return is about 9.3%, and our portfolio delta per dollar at risk is about 1.5%. Projected risk-management price levels are around SPY $131.10 and $134.75.
SPY portfolio risk profile:
IBM portfolio risk profile: