NaughtyPines
Short

OPENING: VXX JAN 19TH 33/35 SHORT CALL VERTICAL

AMEX:VXX   IPATH S&P 500 VIX SHORT TERM FUTURES TM ETN
... for a .66/contract credit on another VXST/VIX >1.00 print.

Probability of Profit: 52%
Max Profit: .66 ($66)/contract
Max Loss: 1.34 ($134)/contract
BE: 33.66

Notes: Will start to look at taking profit north of 50% max ... .
Trade active: Rolling the 35 long call up on increase in value for a realized gain and a .30/contract credit. Scratch point at .96; BE at 33.96.
Trade closed manually: Covering for a .62/contract debit today. .96 - .62 = .34/contract profit (what I was shooting for with the original setup -- 50% max of .66).
Got curious, made an indicator for this, guess should publish. Plots difference current close with any number of periods, not an average just the diff (put an avg on it). Ran it on VXX with 60 days; knew this and UVXY have been rev-splitting often still . . . Price change (in this case, drift) from 60 days ago runs most of the time between -$10 and -$20. Had to check whe I saw how deep in the money you had placed the short leg - shouldn't be a problem.
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NaughtyPines Tom1trader
@Tom1trader, I usually set these up one ITM/one OTM. Now that I look at it, was short of a VXST/VIX ratio >1.00 print. Gave it some "extra time" going out to Jan ... . As always, "we'll see how it goes," look to bail at 50% max.
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Tom1trader NaughtyPines
@NaughtyPines, Good luck with it. I published that indicator and noted you in a comment but had been awhile and used # instead of @, will update it.
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