NaughtyPines
Long

NEXT WEEK: VXX SHORT PUT VERTICAL "LADDER"

AMEX:VXX   IPATH S&P 500 VIX SHORT-TERM FUTURES ETN
With volatility sticking around these lows, I'm looking at dispersing risk across several expiries of VXX             by laddering short put verticals in June, July, and September (unfortunately, there is no August expiry yet) while I continue to work my VXX             short call diagonals.

Here's what I'm looking at now in the monthlies:

VXX             June 12/15 short put vertical ($105/contract at the mid) (the 11 strike's a no-bid)
VXX             July 11/14 short put vertical ($90/contract at the mid) (10's a no bid here)
VXX             Sept 9/13 short put vertical ($104 contract at the mid)

As with all VIX/VIX derivative product setups, I'll look to take the money and run on these if they move into profit (I'm thinking 50% max, as with any credit spread).

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