Systematic Put Write - February 2019

Summary

Today is February Option Expiration day and it is time to review the movements done following our strategy.

IBEX 35 on February 15th 2019. Source Investing.

Despite today's gains, and after closing at 9130 points, the monthly gains in the index is just 52 points more (or + 0,57%) than the previous month.

As this value is above the strike price of the sold option (which was 9000) I get to keep all the credit initially received (+ 146,35 €).

Considering this, since its inception, the Put Write Strategy is at -1,6%.

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
21/12/2018	Ibex 8600 Jan 2019 Put	8550	226,35€	226,35€	9078
18/01/2019	Ibex 9000 Feb 2019 Put	9078	146,35€	146,35€	9130
18/01/2019	Ibex 9100 Mar 2019 Put	9130	123,35€	???	???

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

Regarding March, I have sold a 9100 Put for 123,35€. Very small credit this month, the worst of the series, probably due to today´s rally in the index and corresponding drop in the Volatility.

Base	Put-write value	Total Premium	Break-even
9540	9389,35	-56,42€	N/A

Portfolio

No other position is open right now.

Resources

• IBEX 35 Systematic Put Write Strategy