Tuesday, February 19, 2013

VXX option to trade

I am wondering if we can use VXX calls/put calendars to utilize volatility.

So to try we must have some ground rules which I am investigating as we go.

1. One option to explore is if VXX rises by 20 percent than we buy put every 10 percent rise after that.

so on dec 28 VXX was at 35.43  raised from 28. So we have 7.43 point rise. Its  about 25 percent rise.

- so trade would be buying 2x jan 35 put  and selling 1x feb35 put.

OR

- so trade would be buying 2x feb 35 put and selling 1x april 35 put. (This will give it more time for trade to work out)


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