Stock / Symbol: IPATH S&P 500 VIX SHORT TERM / VXX
Option Strategy: [private_monthly]calendar call spread[/private_monthly]
Price at trade post: $27.88
Reasoning: With market volatility once again relatively low, I'm putting on a [private_monthly]calendar call spread[/private_monthly] on VXX. The greeks going into this trade are: 50.4 delta, 3.0 theta, and 7.8 vega. Note that I'm using weekly options for the short calls.
Trade Details:
[private_monthly]
BTO 3 VXX Jan15 32 calls
STO -3 VXX DecWk1 32 calls
for a max net debit of $1.28 per contract. The mid is currently at $1.13 (day order, limit order). Try for the mid +0.01. If not filled today, it's ok to enter this trade next week.
Requirements:
Cost/Proceeds $384
Option Requirement $0
Total Requirements $384
Estimated Commission $9
[/private_monthly]
Max Risk: $384
Max Reward: $450 or 117% @ [private_monthly]32 [/private_monthly]by Dec 5
Profit Range: at/over $28 to $37 by Dec 5
Suggested Downside Stop: @ 26
Suggested Upside Stop: @ 34
