Alpha book up 3.71%: Delta did the work
Today, I'll give you rare access into my weekly portfolio review.
It was a decent week. Alpha Gen book was up 3.71%, almost all of it from the Delta sleeve. Long-only also recovered nicely.
Here's the breakdown. If you prefer the video version, click HERE.
Delta sleeve: +3.53%
Existing Brazil positions recovered. Added two broken wing call flies on SPX and Russell. Both started well and expire end of this week on 18 June.
All remaining Delta positions are now upside-oriented. Leaning into improving war news and the OPEX-related upward drift through Friday.
Theta sleeve: flat
Very quiet week. Stayed away from short gamma. Fixed-strike vol has been catching a bid and I didn't have confidence in stability around 7,300, which was likely negative gamma territory. Easier to sit on the hands than fight that setup. Up at these higher levels stability has returned and our DELTA trades are collect THETA anyway.
Vega sleeve: +0.18%
Unwound the June VIX call fly at breakeven. The view was that VIX would likely drop back into a low-vol regime and I didn't want the binary risk into expiry.
No Vega positions left in the book right now.
Honest miss: I should have added June or July bearish vol trades after vol sellers stepped in on the potential Iran deal news this weekend. Will look to get back in if the setup returns.
Long-only and hedges
Long-only recovered about $15k on the week, driven mostly by equities. Intel continued to perform and the miners had a good week. Gold dripped slightly. Long-term view holds, not concerned about the short term noise but also not adding just yet. Crypto had a small bounce.
Equity hedges gave back about $900. Still in positive theta territory on the put spread, so the bleed has been minimal even as the book recovers.
Current hedge ratio: ~60% on equities. That's the only active hedge in the book.
Where I'm positioned now
The alpha book is clean. 100% upside delta with the Vega and Theta sleeves both at zero. Leaning into the improving geopolitical narrative and the OPEX tailwind through Friday.
Long-only is performing well on the recovery with the equity hedge still sized for protection. Constructive overall but watching for signs of exhaustion after this kind of strong run. High cash balance gives me plenty of flexibility if something cracks.
That's the week.
And remember, if you are considering to learn options from someone like myself, who's seen it all, click the link below.
Imran
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