With low volatility having drained premium not only out of the broader market, but individual underlyings as well, I continue to look at VIX             and VXX             derivatives to go "long volatility" in lieu of opting for low vol strategies like debit spreads, calendars, and diagonals.

In this particular case, I'm opting to use a long call butterfly given its high risk/return ratio, its relative cheapness to put on, as well as the large profit zone the setup generates.

Here are the metrics for the setup:

Probability of Profit: 54%
Max Profit: $910/contract
Max Risk/Buying Power Effect: $90/contract

Notes: There are a couple of different ways to manage this intratrade, one of which merely involves taking the whole setup off in profit. The alternative way is to strip off the long call vertical portion of the setup (the 17/27 wing) first as price moves up, after which you would look to exit the short call vertical wing (27/37) as VXX             mean reverts (as it is want to do).
Comment: I modified the setup here a bit and went with a VXX June 17th 16/22/28 long call butterfly, which I got filled for a $76 debit. The ideal outcome of these for max profit is for price to be around your short calls strikes (22) at expiration (good luck timing that on the nose); however, I'm going to look to take this off as a unit for 2-3x what I paid as debit ... .
A creative idea. With all due respect my gut feel says nah. (a) Using a non-volatility spread on a vol product. They are cheap for a reason those flies :) (b) There is no reasonable way to adjust midway if VXX hovers around the short strike of 22. That is by the nature of butterfly , which is a neutral spread. You mentioned that you plan to wait for 3x profit. This means you are taking it to the last week before expiration. I am not trying to poo-poo your idea just playing a devil's advocate here. Keep us posted on the progress though.

Like you I have been looking at volatility plays lately. An idea I am looking at is a VIX 20/30 debit call vertical . Haven't picked the expiration yet May or June ?
To be honest, it's somewhat of an experiment. I don't often use flies for the reasons you mention, and they are not particularly ideal for a mean reverting instrument like VXX. In any event, I'll post how it goes ... . (I'll also probably chicken out and take profit early ... ). The only thing you can do with them "midstream" is to strip off the long call debit spread in profit on the elevator ride up and then the uber wide short call vertical on the ride down, assuming you get the required movement in the time frame of the setup. At any rate, I've putzed with virtually endless iterations of VIX/VIX derivative setups over time; I seem to like either calendars or diagonals best, since they offer some flexibility if you don't get the movement you need in the time frame of a fixed duration setup. The metrics for a June VIX 20/30 long call vert are not bad, risk $115 to make a max profit of $885 and a break even of $21.15. If anything, I would put it on in June; the Brexit vote plus a possible rate hike may inject some volatility into the markets in that time frame ... .
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