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%.

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
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 Put9932143,50€-3.300,30€6443
17/04/2020Ibex 6400 Apr 2020 Put6443437,50€437,50€6875

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


IBEX 35 Index vs Put Write Strategy

Regarding May, as mentioned above, the theoretical price of the ATM PUT option would have been 253,50€.

Portfolio

No other position is open right now.

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