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%).
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.
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).
So, considering this nineteenth month, this is the comparison between the strategy and the IBEX 35 index:
Regarding April, as mentioned above, the theoretical price of the ATM April option would have been 437,50€.
No other position is open right now.