Systematic Put Write - July 2019

Summary

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

IBEX 35 on July 19th 2019. Source Investing

IBEX 35 index closed at 9170 points, losing 57 points (or -0,31%).

For this month I had sold a 9300 PUT, so the final result after re-buying the sold option is a gain of 34,35€ (or + 0.35%).

Considering this, since its inception, the Put Write Strategy is at +1.7%.

We are now entering the last month before completing our first year continuously selling ATM puts on the IBEX 35. Unless August finishes with a sharp drop (> 3%) we will end up with profits while beating the underlying index with considerably less volatility and using a strategy that is very little time consuming.

Let´s wait another month and see how this first year ends.

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 Jun 2019 Put	9256	187,35€	127,35€	9227
21/06/2019	Ibex 9300 Jul 2019 Put	9227	164,35€	34,35€	9170
19/07/2019	Ibex 9200 Aug 2019 Put	9170	149,35€	???	???

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

Regarding August, I have sold again a 9200 PUT for 144,35€. 

Base	Put-write value	Total Premium	Break-even
9540	9706	313€	8887

Portfolio

No other position is open right now.

Resources

• IBEX 35 Systematic Put Write Strategy