Monday 20 April 2020

Systematic Put Write - April 2020

Summary

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

IBEX 35 on April 17th 2020. Source Investing

After last month´s crash, the IBEX 35 bounced back, although not as much as the markets in the USA, for instance. The index closed at 6875 points, gaining 335 points (or +6,70%).

As I commented last month, the opening of new short positions was forbidden (and it keeps that way) by the CNMV (Spanish market regulator) so I could not perform the usual PUT selling. Instead, in order to keep the same exposure level, I bought a contract of the IBEX 35 future (which is the underlying asset of the PUT option) at 6110 points and sold it last Friday at 6940 points, booking a gain of 822,8€.


However, I don´t think that is fair to record this gain, since the strategy only involves selling ATM PUT options. Instead, I will record the theoretical gains that I would have obtained by selling the corresponding April 2020 6400 PUT: +437,50€ (or +6,42%).

Considering all this, since its inception, the strategy is at -24%. During the same period, the IBEX 35 lost -27,9%.

Sunday 22 March 2020

Systematic Put Write - March 2020

Summary

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

IBEX 35 on March 20th 2020. Source Investing

Total meltdown, panic on the markets due to the COVID-19 and its effects on the health and the economy. The IBEX 35 index closed at 6443 points, losing 3489 points (or a whooping -34,83%).

As I had sold a 9900 PUT for 136,35€, I have to book a loss of -3300,30€ (also a painful -32,24%).


Considering this, since its inception, the Put Write Strategy is at -28,6%During the same period, IBEX 35 lost -32,5%.

This strategy delivers what it promises: "Equity-like performance with less volatility", so when the underlying equity crashes, we crash too, although less hard.

To make matters worse, the CNMV (the Spanish market regulator) forbid short operations (spanish) on Indexes and derivatives and, although PUT selling is a bullish/neutral strategy, we will not be able to sell a PUT option for April.

Instead, I will have to buy next Monday the underlying future contract to keep the same exposure level during the month of April. For the tracking purposes, I will note the theoretical value of the PUT option, which would be been the biggest one in our history series due to the huge current volatility.

Sunday 23 February 2020

Systematic Put Write - February 2020

Summary

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

IBEX 35 Index on February 21st 2020. Source Investing

Very strong gains during the first four weeks of the monthly cycle that faded a bit during the last two-three trading sessions. Very good scenario for our strategy since we keep all the premium obtained selling the February PUT option and we get better volatility for March.

IBEX closed at 9886 points, gaining 206 points or 2,1%. As I had sold a February 9600 PUT, for 136,35€, I keep all premium and book a gain of 1,36%.

Considering this, since its inception, the Put Write Strategy is at +6.0%During the same period, IBEX 35 gained +3,6%.

Tuesday 21 January 2020

Systematic Put Write - January 2020

Summary

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

IBEX 35 on January 17th 2020. Source Investing

Sideways month for the IBEX 35 index, which ended pretty much where it started. The index gained 5 points this month (or around 0,05%).

As I had sold a January 9600 PUT, for 103,35€, I keep all premium and book a gain of 1,07%.

Considering this, since its inception, the Put Write Strategy is at +4,6%During the same period, IBEX 35 gained +1.5%.