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.

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%.

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%.

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%.

Systematic Put Write - November 2019

Summary

Today is November Option Expiration day and it is time to review the movements done following our strategy.

IBEX 35 on November 15th 2019. Source Investing

Sideways month for the IBEX 35 which ends with a little decline of 68 points (or -0,71%).

For November I had sold a 9300 PUT, for 136,35€. After buying it back, a profit of  97,35€ remains (or + 1.01%).

Considering this, since its inception, the Put Write Strategy is at +1.8%.

Systematic Put Write - October 2019

Summary

Today is October Option Expiration day and it is time to review the movements done following our strategy. I would also like to review last month movements since I was not able to do it on time.

IBEX 35 on October 18th 2019. Source Investing

Both September and October have been profitable for the strategy although the underlying IBEX 35 has outperformed us during this time.

For September I had sold a 8600 PUT, for 202,35€ and for October I sold a 9100 PUT for 125,35€. Both options expired worthless, which represent a profit of 327,70€ (or + 3,50%).

Considering this, since its inception, the Put Write Strategy is at +0,8%.

Systematic Put Write - July 2019

Summary

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

IBEX 35 on July 19th 2019. Source Investing

IBEX 35 index closed at 9170 points, losing 57 points (or -0,31%).

For this month I had sold a 9300 PUT, so the final result after re-buying the sold option is a gain of 34,35€ (or + 0.35%).

Considering this, since its inception, the Put Write Strategy is at +1.7%.

We are now entering the last month before completing our first year continuously selling ATM puts on the IBEX 35. Unless August finishes with a sharp drop (> 3%) we will end up with profits while beating the underlying index with considerably less volatility and using a strategy that is very little time consuming.

Let´s wait another month and see how this first year ends.

Systematic Put Write - May 2019

Summary

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

IBEX 35 on May 17th 2019. Source Investing

This month the IBEX 35 broke its winning streak and lost 324 points (or -3,38%).

For this month I had sold a 9500 PUT, so the final result is a loss of 135,75€ (or -1,11%)

Considering this, since its inception, the Put Write Strategy is at +0,1%.

Systematic Put Write - March 2019

Summary

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

Ibex 35 on March 15th. Source Investing

After a very quiet month, today´s gains make the March future close at 9330 points, gaining 200 points this month (or + 2,19%).

As this value is above the strike price of the sold option (which was 9100) I get to keep all the credit initially received (+ 123,35 €).

Considering this, since its inception, the Put Write Strategy is at -0,6%.

Systematic Put Write - February 2019

Summary

Today is February Option Expiration day and it is time to review the movements done following our strategy.

IBEX 35 on February 15th 2019. Source Investing.

Despite today's gains, and after closing at 9130 points, the monthly gains in the index is just 52 points more (or + 0,57%) than the previous month.

As this value is above the strike price of the sold option (which was 9000) I get to keep all the credit initially received (+ 146,35 €).

Considering this, since its inception, the Put Write Strategy is at -1,6%.

Closed: ODAX February 2019 Call Spread

Summary

Yesterday I closed the ODAX 11350 - 11400 Debit Put Spread, which was opened before Christmas in order to protect the former Call Spread deployed for January against a market rebound.

DAX 30 on February 6th 2019. Source Investing

This trade worked fine in its original task and I was aiming to make more profit if the market kept rising. However, with only nine days left, I chose to close it near break even.

Systematic Put Write - January 2019

Summary

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

IBEX 35 on January 18th 2019. Source Investing

Strong gains this month in the IBEX 35 January Future which closed at 9078 points, that is 526 points more (or + 6,18%) than the previous month.

As this value is above the strike price of the sold option (which was 8600) I get to keep all the credit initially received (+ 226,35 €).

Considering this, since its inception, the Put Write Strategy is at -3,1%.

Closed: ODAX January 2019 Call Spread

Summary

Today is January options expiration day and the 11400 - 11800 Call Spread expires yielding its maximum possible profit.

DAX 30 on January 18th 2019. Source Investing

Nice comeback from last Christmas lows however, it comes too late to affect this trade negatively. Now it is time to evaluate the situation but probably I will wait for new drops in the index to open new trades.

Closed: ODAX January 2019 Put Spread

Summary

This morning I have closed the trade at around 93% of the maximum possible profit with still 10 days before the expiration date.

DAX 30 on January 8th 2019. Source Investing

We are in a bearish setup, so it makes sense to me to eliminate some downside risk and wait for a new drop in order to deploy a new Put Spread using February options.

Systematic Put Write - December 2018

Summary

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

IBEX 35 on Dec 21st 2018. Source Investing

Sharp decline in the IBEX 35 December Future which closed at 8550 points, that is 506 points less (or -5,58%) than the previous month. This drop overwhelms the credit received for the short 9100 Put Option and results in a loss of 366,85€ this month.

Considering this, the Put Write Strategy is now at -5,8%.

New Position: ODAX January 2019 Call Spread

Summary

Complementing the Put Spread opened last week, I have opened a 11.400 - 11.800 Call Spread for the January expiration cycle. This effectively transforms the trade into an Iron Condor.
Also, in order to add some upside protection, I have bought a 11.350 - 11.400 Call Spread using February options. Ideally I would like to reuse this Spread again in February.

DAX 30 on December 17th 2018. Source Investing

Five trading weeks to go and an Implicit Volatility of around 21%. I should be able to hold longer before adjusting the trade given the fact that I have a debit Call Spread for February and the credit received from the Put Spread. The Put Spread, on the other hand, will be adjusted at 30 delta.

New Position: ODAX January 2019 Put Spread

Summary

Opened a new 9900 - 9500 Put Spread using the January 2019 ODAX options. DAX is now at 10740 (that is -6% since last week!).

DAX 30 on December 12 2018. Source Investing

Six trading weeks to go and an Implicit Volatility of around 22%. I will adjust the trade if the short option reaches 30 delta. Also I will close the trade if there is a bounce upwards and I am able to get a 60/70% of the maximum premium quickly.

Closed: ODAX December 2018 Put Spread

Summary

Today, I have closed the last trade involving 2018 options. With still three weeks remaining, taking 75% of the maximum premium is good enough for me.

DAX 30 on December 3rd 2018. Source Investing

In case there is a Volatility spike, I will be looking forward to January for deploying a new trade.

New Position: ODAX December 2018 Put Spread

Summary

Last Friday, with the DAX 30 index at 11.160 points, I opened a 10.500 - 10.100 Put Spread for the December expiration cycle (28 days to go).

DAX 30 on November 23rd 2018. Source Investing

Four trading weeks to go and an Implicit Volatility of around 19%. I will adjust the trade if the short option reaches 30 delta.

Systematic Put Write - November 2018

Summary

Today is November Option Expiration day and it is time to review the movements done following our strategy.

IBEX 35 on November 16th 2018. Source Investing

IBEX 35 November Future closed at 9056 points, that is 152 points more (or +1,7%) than the previous month. As this value is above the Strike Price of the sold option, it expires worthless and I get all the premium received initially (+176,35€ or +1,9%).

Considering this, the Put Write Strategy is now at -1,9%.