A Volatility Crush & Market Rebound

Portfolio +3.97% since Inception - decent upside capture over the past two weeks

Dear subscriber,

It’s been two weeks since our last update, as there was little to discuss and/or manage in our portfolio. We’ve talked about strategy before many times, and it’s all about sticking to the script.

As of Friday April 25, the return since the start of the Substack stood at +3.97%, or +9.5% annualized, in the ballpark of our 8-9% target. Including the updated P&L for the 1-year setups (as they benefit from the recently increased implied volatility since end of March), the return stands at +5.06% or >12% annualized.

Please keep in mind that this portfolio return calculated on a fixed starting capital base/closed portfolio. Over the past few weeks, higher implied volatility created attractive opportunities to add incremental capital to one’s portfolio. By staying disciplined and contrarian on volatility, money-weighted returns can be enhanced considerably.

Our return clearly benefited from the decline in short-term implied volatility, while it remains fairly bid for longer-term series. Our deliberate choice to take on some static directional exposure helped too, and there’s more upside left if the market rebound continues. And if it doesn’t, we’ve still got meaningful positive time decay to be earned over the next weeks.

Let’s summarize the past two weeks’ performance in the below brief video update, including what might happen next.