2021 summary

Daily log

Now, let’s review the PL for year 2021.

My performance was 21.33% per annum. How do you think this? Annual SP500 index performance in 2021 was 27.23%. Oh no! I’m losing!

OK OK, I have to accept the fact…

Let me double check each months result.

Jan exp.

If you look only at the results, all of calendar spreads positions were positive finish. But needed to put up with the decline in early November. It would be even better if we did adding there.

Need to believe firmly that VIX spike will always be back to normal range.

Even so, it’s amazing that a position set up at 0 or even a negative price can be closed with a big plus! Thanks to Contango!

Feb exp.

Can you withstand the big drop in end of Jan or add position more? That decision made big difference on the result.

Mar exp.

It went up nicely at the end of February, then it plummeted. It’s not a loss but might think to close the position to realise profit. However, if I put up with it, the climbing speed near the maturity was so fast.

Apr exp.

I was able to see the positions with confidence.

May exp.

We saw a momentary drop on 5/12, but don’t panic. 1m and 2m made profit anyway. If we did not adding on 5m, it ended with small loss.

Jun exp.

Same thing, if I could put up with 5/12 drop, the profit was great.

Jul exp.

This is a difficult to judge. It ended with positive to wait until maturity but if I could closed them just before the maturity, It was a big plus.

Aug exp.

If I could add positions in end of Jul, profit can be bigger…

Sep exp.

5m position price moved so big…

Oct exp.

The movement look like text book of contango.

Nov exp.

This is also typical movement.

Dec exp.

What action was taken in early Dec makes big difference at the end.

Overall 2021

20211m2mMonthly ttl.
Jan2.004.306.30
Feb5.297.6912.98
Mar4.256.0510.30
Apr2.354.206.55
May1.292.643.93
Jun2.363.916.27
Jul1.742.243.98
Aug2.313.305.61
Sep1.633.034.66
Oct3.765.299.05
Nov3.234.247.47
Dec1.142.133.27
Grand total31.3549.0280.37

(5m not included)

For 1m combination, profit 31.35 points a year. $ 3135 per contract.

For 2m combination, profit 49.02 points a year. Also $ 4902 per contract.

My case, the number of contracts is currently 10. Means overall annaul performance was roughly 60% based on this calculation. It was almost three times of my own achievements. Certainly, the market itself was in good shape this year. So if I implemented this strategy from the beginning of the year, I would have been able to get this big fruit. Oh my godnes!

The good thing about this strategy is that we don’t have to worry about the timing of open and close position. Both are decided by the expirely period of option.

Because of that, let’s keep in mind the operation following the rules. It’s a rule I decided myself, anyway.