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You're taking my words out of context. Selling VIX call is a low risk strategy IF (BIG IF) VIX is at 80. However, doing so when VIX is at 15 is high risk. This is similar to iron condor: you don't put one on when IV of the UL is low. You wait for the high IV and then open an iron condor...

Shorting SPY calls is more risky than shorting VIX puts. SPY has no upper limit and may continue to march higher and higher for months. VIX, on the other hand, is range-bound with 13-14 being a low end of that range. Similarly, if VIX shoots up to 80, selling VIX calls (and VXX calls for...

My numbers are from yesterday. Today you have to alter the contract ratio from 2:1 to something like 170:75

Yesterday. But it's a paper trade since this the first time I am doing this.

That's true. Most modeling goes out of the window if we're dealing with VIX options. However, I think I can quantify an expiration scenario to some extent. My break-even on VIX is 14.90 (16-1.10). It is unlikely for VIX to go below 14 and stay there. But let's assume it goes to 13.90 (8% down...

My rational for this trade is very simple: 1) VXX is designed to lose value over time. Just look at the chart since inception. This means it is a perfect short in a long term. However, it may spike in a short term. Hence... 2) Any short position in VXX must be a) entered during such spike...

What do you mean? Given the trade parameters, if VIX futures close above 16 on Dec 22, then the trade will work since it had an initial credit. Otherwise, it may or may not work depending on where VIX will be relative to VXX on that day.

If VIX was at 18, I would not put this trade on. Today's 16 was a compromise of uncertainty: if VIX goes higher through December, the trade should work; but if it goes lower, the projected loss should be covered by VXX put gain.

What time frame in the last month (I assume October) would it not work? I would not trade it mechanically. The entry criteria is VIX at or below 15, contango in VIX futures, and there is 3-4 weeks till expiration.

Yes, I can try "think back" feature of ToS platform.

As time progresses VXX term structure will move more to the next month futures. I think the position should be closed about a week before the expiration. I put a paper trade on with the parameters that I described. Need to do an experiment first before committing any real money :-). It is...

Hi y'all! I've been thinking about the following trade on VIX/VXX put options: Sell N ATM VIX puts for the front month Buy M ATM VXX puts for the front month, where N and M are chosen in such manner so that VIX credit is more than VXX debit. For example, using some of today's prices...

TOS has free end-of-day historical option quotes. It should be enough for this type of backtest.

What's your position size relative to the account size? You should've used historical option prices for this backtest

Here is a VXX trading idea: 1. Wait for a VXX spike (even a minor one) 2. Enter a monthly credit call (or debit put) spread that have risk:reward ratio < 1 (e.g. if VXX is @36, sell 32/36 call spread). 3. If VXX spikes in the next following days, roll the spread higher while increasing it's...

Closed the IB at 3.09. In a retrospect this position was profitable (trading at 2.96-2.98) 2 days after the open and that was the best time close it.

Correct me if I am wrong, but these barrier options look similar to OTM butterflies or condors. In case of OTM condor, UL must trade between inner strikes (similar to barrier condition) for the spread to be profitable. Of course, the spread does not lose value immediately if UL get out of the...

I was just following though on your prices example. It does present an arbitrage opportunity by the way it is calculated. That's why I asked my question. If we remove arbitrage, then all three options will have to have the same price but in this case there is no need for N-th degree options.

If you're a seller and you choose what option to sell: $3 on the UL or $.002 on the 2nd degree option, while your potential loss is about the same, which one would you choose? My point is that no one would sell an option for $.002 if a similar option could be sold for $3. Of course a...