ProShares Trust Ultra VIX Short Term Futures ETFArca
Description
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... for a 2.25/contract debit.
Max Profit: .75 ($75)/contract Max Loss: 2.25 (225)/contract Break Even: 13.25
Notes: Basically a contango drift/beta slippage play, but playing the ball where it lies, rather than waiting for a pop ... . Going long put vert instead of my usual short call vert due to comparatively low VVIX.
Trade active
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Now that I've got some better entries with last week's pop, I will look to take this setup off at scratch, since it's the most at risk out of the spreads I have on in January.
Trade closed: target reached
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Covered this a.m. for a 2.28 credit, taking off the lowest hanging fruit, and freeing up BP. Still have 13/16, 14/17, and 15/18's on the January monthly.
Barring volatility pops, it is amazing how fast the drift can be and I guess if a pop the increase should counter decrease in intrinsic. Good luck with it!
NaughtyPines
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@Tom1trader, My preference is to short on pops, which is naturally a patience game ... .
Tom1trader
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@NaughtyPines, I hear that! Patience? What is that? :-)
minkusm
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I was thinking of doing something like this. I have a ton of call credit spreads on from 1-2 weeks ago but I'm about to take them off. I was also looking into shorting UVXY shares (after a spike), but I haven't been able to find any to borrow on any of my brokerage firms. :(
NaughtyPines
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@minkusm, Yeah, UVXY short shares are tough to get your hands on. It's probably why I went to work on SVXY long shares instead. The contango erosion/beta slippage isn't as nice as in UVXY, however. One possible option -- a synthetic short. Example: Buy the ATM Jan 19th 13 put/sell the Jan 19th 13 call. Delta: -99.65; BE at 13.33; Max Profit: 13.33/contract, but Max Loss: Undefined (due to the short call). (You can cap off that max loss with a long call if necessary). Naturally, you want to give this type of play a long time to work out ... . The longer, the better. However, UVXY is closing in on reverse split territory (usually between 8 and 9), so you might want to consider something post-split ... .
NaughtyPines
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@NaughtyPines, Now that I look at it, it's really tough to get your hands on a "cheap" long call to define the max loss of that synthetic short. Any long call (pretty much regardless of how deep in the money you go and pretty much regardless of expiry) is pricey and would cut into the "sexiness" of that play ... . Oh, well, it "looked good on paper."
minkusm
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@NaughtyPines, Yeah i've been accumulating XIV long shares. I've been told XIV is better than SVXY for a couple reasons wrt to taxes, etc. And yeah I played around with synthetic shorts on UVXY in tastyworks, I couldn't find anything that works. Tasty and Fidelity have no shares to borrow, I should check E*Trade if my account is still open...
NaughtyPines
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@minkusm, I've also putzed with various setups over time, looking to emulate a short share position, since short shares appear to be hard to come by. Nothing really proved satisfactory, unfortunately ... . Kind of a drag.