ROLLING: VXX MARCH 20TH 12/14 TO APRIL 17TH 12/15 SCV
... for a .30/contract credit.
Notes: A late post ... . Rolling out in this strength and widening the spread to force a credit. I'm fine with extending duration, so long as I can get something around one-third the width of any widening in credit. Here, it's .30 to widen an additional strike, so it's not quite one-third, but it'll do. The notion here is that it will eventually decay past 12, with the natural question being when ... .
I also added some units (same strikes, same expiry) for 1.66/contract (55% of the width of the spread). You can naturally sell spreads higher up the ladder (e.g., the 16/18), but I'm opting to keep things simple rather than having a bunch of different spreads on at different levels, which can pose trade management problems if you want to extend duration.
Will look to peel off units at VIX lows.
Notes: A late post ... . Rolling out in this strength and widening the spread to force a credit. I'm fine with extending duration, so long as I can get something around one-third the width of any widening in credit. Here, it's .30 to widen an additional strike, so it's not quite one-third, but it'll do. The notion here is that it will eventually decay past 12, with the natural question being when ... .
I also added some units (same strikes, same expiry) for 1.66/contract (55% of the width of the spread). You can naturally sell spreads higher up the ladder (e.g., the 16/18), but I'm opting to keep things simple rather than having a bunch of different spreads on at different levels, which can pose trade management problems if you want to extend duration.
Will look to peel off units at VIX lows.
Trade active:
Rolling the April 17th 12/15 to the May 12/16 for a .60/contract credit. In all likelihood, will have to continue doing this over a number of cycles before we see VXX at 12.
Trade active:
I may be throwing good money after bad here, since I'm rolling a setup that is amenable to max loss to a setup that's amenable to max loss: rolling the May 12/16 to the June 12/17, and forcing a .85 credit by widening.
