NEXT WEEK: VXX SHORT PUT VERTICAL "LADDER"
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).
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).
