NaughtyPines
Long

OPENING: SVXY NOV 25TH 72/74 SHORT PUT VERTICAL

AMEX:SVXY   PROSHARES SHORT VIX SHORT TERM FUTURES ETF
I did this one on Friday on the volatility pop we had, but didn't get a chance to post ... . I got it filled for an $87/contract credit, but could have done better were I to have had time to do some price discovery. SVXY             isn't the most liquid thing in the world, so it pays to be patient and fiddle with getting a fill $5-$15 above the stated mid price.

Here, I'm looking for volatility to collapse going forward from these levels which, for SVXY             , means that it will move upward with both the combination of VIX             collapse and contango. If I'm unable to take profit at 50% max of the setup at expiry, I will roll it forward for duration and credit ... .

Notes: Variations on this play: look to sell an ATM short call vertical in either VIX             , VXX             , or UVXY             , assuming that VIX             remains at this level for a period of time (e.g., a VXX             Nov 25th 33/36 short call vert; $93 credit at the mid; max loss/buying power effect: $207/contract).
Comment: Rolling the 72 long put to the 70 for an additional $83/contract credit, realizing a gain of $77/contract, and moving my break even closer to current price (now at the 72 strike).
Comment: Covering today for an .84 ($84)/contract debit. Original setup credit of .87 plus roll for an .83 credit minus .84 debit to close minus fees/commissions = .80 net profit ($80)/contract -- more than I wanted out of the original setup ... .
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