THE VXX PLAY (I WANTED TO PUT ON FOR THE "FOMC POP")

9 Oca 2016

When we had our first rate hike in umpteen million years in December, I had a play like this on for a GTC fill to fade any volatility spike we might have in response to that. Of course, it never came ... .

But thanks in large part to Chinese markets, I've now got that spike and will fade it here if I get the chance. Here's the setup:

VXX Feb 19th 16/17 long put spread (the 16 is the short, the 17 the long)
Probability of Profit: 16%
Max Profit: $93/contract
Buying Power Effect: $7 per contract (at the mid price) (will that be around on Monday? Who knows?)
Break Even: 16.93

Naturally, this is a total longshot setup at the outset. However, the idea is not to expect price to break $16.93 (that would be a "glory shot"), but rather to take it off at, for example, 50% of max profit.

12 Oca 2016

Not

Filled Feb 19 17/18 for a .13 debit and also did a Feb 26 16/17 for an .08 debit.

30 Oca 2016

Not

Although there is still some time left for these, I am doubtful I'll get the movement required to a hit a "home run" with them, so I'll look to take them off for scratch if I have a chance ... .