Performance Report Week 28/2015

Last week has been frightening. The EuroStoxx50 Index was locked in fear about the Greek financial situation and the stock market crash in China. Volatility went through the roof hitting more than 32 Points before closing at 27.88. The ESTX50 traded in a wide range between 3,300 points at the low end and 3,529 points on Friday closing.

That is a range of 6,9 % in one week! As I am following a short volatility strategy selling option straddles that doesn't sound to be optimal for the portfolio, does it?.

In the last week I rolled my long put insurance from July expiration to August expiration. In hindsight, the timing was not the best, but as explained in the last post, I could sell my July insurance for a profit and use that to buy the new puts. Due to the high volatility, the option premiums were also high, so that all in all my protection moved down a bit.

That is not a big deal because i also completed my 3,350 straddle last week so that it would be easier to extend my lower break even point if the market takes another dip. On the other side I can profit from additional income of the short put premium in rising markets.

So let's have a look at the performance of the last week and the current balance.

Currently, the premium earned is 6,930 EUR. For insurance, I earned 50 EUR from the July position. For August I paid 1,016 EUR for two puts each at 2,700 Strike and 3,000 Strike. Additionally, I've earned a credit for selling two puts at the 2,900 strike level for 538 EUR. All in all, insurance cost sums up to 428 EUR, reducing my overall income to 6,502 EUR.

If I would close all open positions now, my expenses would be 6,500 EUR for the straddles and my income would be 158 EUR from the insurance. My book profit would be 160 EUR.

All in all, I am still in a comfortable level even though the market used to trade in large gaps and big moves during the last 3 weeks. I am curious to see the result coming up in September!