Sunday, 22 December 2019

Systematic Put Write - December 2019

Summary

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

IBEX 35 on December 21st 2019. Source Investing

Nice gains this month in the IBEX 35 index, which increases its value in 414 points (or + 4,47%). This is the first time since August 2018 that the index closes over 9500 points.

For December I had sold a 9300 PUT, for 161,35€. Since the underlying closed above this level, I get to keep all the premium, which represent and increase of +1.66%.

Considering this, since its inception, the Put Write Strategy is at +3.5%. During the same period, IBEX 35 gained +1.4%.

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. These are the last twelve months (complete records can be found here).

OptionSpotPremiumProfit/LossSpot Closed
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€9345
15/11/2019Ibex 9300 Nov 2019 Put9345136,35€97,35€9261
20/12/2019Ibex 9300 Dec 2019 Put9345161,35€161,35€9675
17/01/2020Ibex 9600 Jan 2020 Put9675103,35€??????

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



Regarding January, I could not get a fill on my sell order of a 9600 January Put. I will try again tomorrow and update the details here.

Update: Finally I sold a 9600 January PUT option for 103,35€. Very low volatility after some weeks of continous gains in the IBEX 35 index, not a very good setup for our strategy.

Portfolio

No other position is open right now.

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