Systematic Put Write - April 2019

Summary

Last Thursday was April Option Expiration day (last Friday was bank holiday in Spain) and it is time to review the movements done following our strategy.

IBEX 35 on April 19th 2019. Source Investing

Another month in positive for the IBEX 35 index, gaining 251 points this month (or + 2,69%).

As the future closed at 9581 points, value that is above the strike price of the sold option (which was 9300), I get to keep all the credit initially received (+ 167,35 €).

Considering this, since its inception, the Put Write Strategy is at +1,2%.

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€	???	???

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

Put Write Strategy vs IBEX 35

Regarding May, I have sold a 9500 PUT for 109,35€. Very low volatility and fewer days until expiration. Break-even can be achieved if the index closes above 9277 points.

Base	Put-write value	Total Premium	Break-even
9540	9653,35	222,35€	9277,65

Portfolio

No other position is open right now.

Resources

• IBEX 35 Systematic Put Write Strategy