Sunday, 23 February 2020

Systematic Put Write - February 2020


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%.

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
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€9617
17/01/2020Ibex 9600 Jan 2020 Put9617103,35€103,35€9680
21/02/2020Ibex 9600 Feb 2020 Put9680136,35€136,35€9932
20/03/2020Ibex 9900 Mar 2020 Put9886143,50€??????

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

Regarding March, I sold a 9900 PUT for 143,50€


No other position is open right now.


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