Systematic Put Write - October 2019

Summary

Today is October Option Expiration day and it is time to review the movements done following our strategy. I would also like to review last month movements since I was not able to do it on time.

IBEX 35 on October 18th 2019. Source Investing

Both September and October have been profitable for the strategy although the underlying IBEX 35 has outperformed us during this time.

For September I had sold a 8600 PUT, for 202,35€ and for October I sold a 9100 PUT for 125,35€. Both options expired worthless, which represent a profit of 327,70€ (or + 3,50%).

Considering this, since its inception, the Put Write Strategy is at +0,8%.

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.

	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€	164,35€	9170
19/07/2019	Ibex 9200 Aug 2019 Put	9170	144,35€	-390,65€	8635
20/09/2019	Ibex 8600 Sept 2019 Put	9170	202,35€	202,35€	9178
18/10/2019	Ibex 9100 Oct 2019 Put	9178	125,35€	125,35€	9327
15/11/2019	Ibex 9300 Nov 2019 Put	9327	136,35€	??	??

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

Regarding November, I have sold  a 9300 PUT for 136.35€. 

Base	Put-write value	Total Premium	Break-even
9540	9645	241€	9061

Portfolio

No other position is open right now.

Resources

• IBEX 35 Systematic Put Write Strategy