Friday, 18 October 2019

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.


OptionSpotPremiumProfit/LossSpot Closed
22/08/2018Ibex 9500 Sept 2018 Put9540129,35€85,70€9492
19/09/2018Ibex 9500 Oct 2018 Put9492150,23€-447,67€8904
19/10/2018Ibex 8800 Nov 2018 Put8904176,35€176,35€9056
16/11/2018Ibex 9100 Dec 2018 Put9056182,35€-366,85€8550
21/12/2018Ibex 8600 Jan 2019 Put8550226,35€226,35€9078
18/01/2019Ibex 9000 Feb 2019 Put9078146,35€146,35€9130
15/02/2019Ibex 9100 Mar 2019 Put9130123,35€123,35€9330
15/03/2019Ibex 9300 Apr 2019 Put9330167,35€167,35€9581
18/04/2019Ibex 9500 May 2019 Put9581109,35€-135,75€9256
17/05/2019Ibex 9300 Jun 2019 Put9256187,35€127,35€9227
21/06/2019Ibex 9300 Jul 2019 Put9227164,35€164,35€9170
19/07/2019Ibex 9200 Aug 2019 Put9170144,35€-390,65€8635
20/09/2019Ibex 8600 Sept 2019 Put9170202,35€202,35€9178
18/10/2019Ibex 9100 Oct 2019 Put9178125,35€125,35€9327
15/11/2019Ibex 9300 Nov 2019 Put9327136,35€????

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€

BasePut-write valueTotal PremiumBreak-even
95409645241€9061


Portfolio

No other position is open right now.

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