One play I have not considered is a VXX covered call where you would take a long position in VXX and then sell short calls against it, reducing your cost basis in the , after which you would proceed to bail from the position when either (a) called away at expiration because the price of the underlying exceeds the price of your short call; or (b) selling the VXX covered call outright prior to expiration on one of these inevitable spikes we get from time to time.
Ordinarily, with covered calls, I'm looking for a couple of things, one of which is whether I can receive sufficient premium for the short calls such that the setup is worthwhile.
Here's an example to show you what I mean:
100 Shares VXX @ $18.22
Jan 22nd 18.5 short call (mid-price, $1.70)
Mid Price of Entire Setup is $16.57 contract
The credit your receive of $1.70 for the short call (which is a mere .28 above the current price of the underlying) reduces the cost basis of your 100 long shares by 9.3% and makes your break even price for the underlying at $16.57. If you could get this kind of premium month in and month out, you would reduce your cost basis in your VXX position to $0 in about 10 or 11 45 DTE cycles (assuming you weren't called away at some point or didn't just sell at one of these price spike events).
Although current price isn't particularly "ideal," I'm going to look at doing VXX covered calls going forward, particularly if we break $18 ... .