Stock / Symbol: IPATH S&P 500 VIX SHORT TERM / VXX
Option Strategy: calendar call spread
Trade entry date / price: Nov 21 / $27.88
Price at this post: $28.90
Current Position:
Long 3 VXX Jan15 32 calls
Short 3 VXX Dec14 32 calls
At a net cost of $0.52 per contract
Reasoning: With Volatility seemingly back on the retreat, I'm going to book this win. Current Greeks are: 36.3 delta, 12.2 theta, and 6.1 vega.
Closing Trade Details:
STC 3 VXX Jan15 32 calls
BTC -3 VXX Dec14 32 calls
for a min credit of $1.05 per contract. The mid is currently at $1.10 (GTC order, limit order). Try for the mid - 0.01.
Max Risk: $156 (adjusted down from $384)
Max Reward: $500 or 320% @ 32 by Dec 19
Profit Range: $27 to $37 by Dec 19
Suggested Downside Stop: @ 27
Suggested Upside Stop: @ 33
Realized Profit / Loss upon fill: $173 or 110% (pre-commission)
