NaughtyPines

OPENING: VXX MARCH 20TH 12/14 SHORT CALL VERTICAL

Short
AMEX:VXX   iPath Series B S&P 500 VIX Short-Term Futures ETN
... for a 1.19/contract credit.

Notes: Adding a little to my existing position (same strikes) on this pop. Although it now looks unlikely that we will clear the short call strike at 12 by March expiry given current price and average decay rates, we'll see how it goes. 1.09/contract collected on the first tranche; 1.19 collected on this one. In this particular case, both tranches are of an equal number of contracts, so I've collected (1.09 + 1.19)/2 = 1.14 per contract, so my position break even is the short call strike plus the per contract credit collected or 13.14.

If you did two contracts on the first tranche at 1.09 and three on the second tranche at 1.19, your break even calculation would be /5 = 1.15/contract.

Will look to shed units at 50% max and then roll out for duration and forced credit if necessary to give the remainder of the position time to work out.