Systematic Put Write - May 2019

Summary

Last Friday was May Option Expiration day and it is time to review the movements done following our strategy.

IBEX 35 on May 17th 2019. Source Investing

This month the IBEX 35 broke its winning streak and lost 324 points (or -3,38%).

For this month I had sold a 9500 PUT, so the final result is a loss of 135,75€ (or -1,11%)

Considering this, since its inception, the Put Write Strategy is at +0,1%.

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
15/02/2019	Ibex 9100 Mar 2019 Put	9130	123,35€	123,35€	9330
15/03/2019	Ibex 9300 Apr 2019 Put	9330	167,35€	167,35€	9581
18/04/2019	Ibex 9500 May 2019 Put	9581	109,35€	-135,75€	9256
17/05/2019	Ibex 9300 June 2019 Put	9256	187,35€	???	???

So, considering this ninth month, this is the comparison between the strategy and the IBEX 35 index:

Put Write vs IBEX 35

Regarding June, I have sold a 9300 PUT for 187,35€. Higher premium this month due to higher volatility and the underlying being closer to our option strike.

Base	Put-write value	Total Premium	Break-even
9540	9545	193€	9117

Portfolio

No other position is open right now. If DAX 30 suffers a proper decline I might sell a Credit Put Spread but I need much more fear in the market to do that.

Resources

• IBEX 35 Systematic Put Write Strategy