Systematic Put Write - December 2018

Summary

Yesterday was December Option Expiration day and it is time to review the movements done following our strategy.

IBEX 35 on Dec 21st 2018. Source Investing

Sharp decline in the IBEX 35 December Future which closed at 8550 points, that is 506 points less (or -5,58%) than the previous month. This drop overwhelms the credit received for the short 9100 Put Option and results in a loss of 366,85€ this month.

Considering this, the Put Write Strategy is now at -5,8%.

Movements and results so far

I started on August 22nd 2018 selling a 9500 September 2018 Put with the IBEX at 9540. This value will be used as base value from now on.

Date	Option	Spot	Premium	Profit/Loss	Spot Closed
22/08/2018	Ibex 9500 Sept 2018 Put	9540	129,35€	85,70€	9492
19/09/2018	Ibex 9500 Oct 2018 Put	9492	150,23€	-447,67€	8904
19/10/2018	Ibex 8800 Nov 2018 Put	8904	176,35€	176,35€	9056
16/11/2018	Ibex 9100 Dec 2018 Put	9056	182,35€	-366,85€	8550

So, considering this forth month, this is the comparison between the strategy and the Ibex 35 index:

Regarding January, I have sold a 8600 Put for 226,35€, the biggest premium in the series due to the increased volatility in the market.

Base	Put-write value	Total Premium	Break-even
9540	8987,35	-326,3€	N/A

Portfolio

The other position in the portfolio is an Iron Condor using DAX January options formed by a 9900 - 9500 Put Spread and a 11400 - 11800 Call Spread. The Call Spread nears the maximum profit, the Put Spread is at break-even levels.

Resources

• Systematic Put Write - November 2018