Low risk VXX option strategy

I think this strategy might works better in low vol environment. So you are taking the advantage of VIX reverting upward to historical mean as well as buying low IV on the VXX put wing.
 
Yeah I think it's the conclusion they draw in the article as well. Good conditions for the strategy are VIX below 20 and VIX/VXV below 1.1
 
Saltynuts said:
The problem is the options sellers know the risk and price that stuff in, so those options cost $$$, cutting into profitability, I'd guess to such and extent that there is no alpha.
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Right dumbass, like down and put skew on index. Stop. Typing.
 
the learner said:
Hi, I posted this in the ETF section but maybe it is better to discuss this strategy here since it involves options.

This strategy seems to make sense and indeed quite low risk unless very big unanticipated drops in VIX. So maybe we should just avoid that when VIX is above 40?
Any opinion?
The article is here:
https://tradingmatex.com/low-risk-vxx-options-strategies/
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Came across this post when searching a VXX strategy on Google and have few questions:
  • is anyone is following it?
  • Does the website also provide entry levels with actual strikes to buy/sell?
  • With the recent developments around VXX, is this still the underlying to use or are people moving to VIXY (if so, any changes to the original strategy to be aware of)?
Thanx!
 
FWIW: A new product began trading recently (UVIX & SVIX), which mimics the behavior of UVXY and SVXY respectively prior to their castration in early 2018! -- Liquidity in their options is currently poor, but likely to improve with time.
 
stepandfetchit said:
FWIW: A new product began trading recently (UVIX & SVIX), which mimics the behavior of UVXY and SVXY respectively prior to their castration in early 2018! -- Liquidity in their options is currently poor, but likely to improve with time.
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Hello, interested in the strategy published in the article but from what I understand it is based on VXX and VIXY rather than UVXY/SVXY.
Not sure how do you suggest to change it to use these instruments instead?
 
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