Despite—to some extent, because of—continued volatility in the markets this week, we’re having an outperforming month. We’ve locked in a 35% profit on one position, and our combined realized and unrealized return on total capital risked has increased to nearly 24%. We ended the week with a Model Portfolio Return in the vicinity of 16%.
Heading into next week we’re almost precisely delta-neutral, although our portfolio gamma and vega are growing. If called for (our projected risk-management price thresholds at Friday’s close were approximately SPY $129.90 and $133.55), we have time to enter one last position for this month. At the same time, we’re looking to open our first April position at the earliest opportunity…it looks like it could be a busy week, folks.
For the visually oriented, here’s the graph of our risk profile at the close of the week:
Given the proximity of our latest Supplemental Trade to the end of the week, the status of our IBM March Supplemental Trades portfolio is represented (closely enough) in Friday’s trade analysis.