OPENING: VXX 14/15 JANUARY 17TH ZEBRA
With VIX hovering around 2019 lows, re-upping with another "Zebra" ... .
Metrics:
Max Profit: Undefined
Max Loss: $221/setup
Break Even: 15.23
Delta/Theta: 85.16/-1.07
Notes: There are several different ways to look at this trade: (a) as a long call vertical + an additional long call; (b) long calls, the cost of which is cut by selling a short against; or (c) a synthetic long stock position (at least on setup, since its delta is dynamic). In any event, looking for a pop between now and expiry. Take profit on these is subjective, since it's awfully hard to tell when VIX has topped out and max profit in the setup is "theoretically infinite" due to the additional long call present in the spread.
Metrics:
Max Profit: Undefined
Max Loss: $221/setup
Break Even: 15.23
Delta/Theta: 85.16/-1.07
Notes: There are several different ways to look at this trade: (a) as a long call vertical + an additional long call; (b) long calls, the cost of which is cut by selling a short against; or (c) a synthetic long stock position (at least on setup, since its delta is dynamic). In any event, looking for a pop between now and expiry. Take profit on these is subjective, since it's awfully hard to tell when VIX has topped out and max profit in the setup is "theoretically infinite" due to the additional long call present in the spread.
Comment:
As a possible take profit target: although VXX doesn't quite move as VIX does, you can use VIX as a rough guide. With VIX trading at 12, a pop to 16 isn't out of the question, which would be a 33% pop or so from here. VXX is currently trading at 15.09, so a 33% pop would be to VXX 20 or so or about 5 strikes worth of movement. With the extra long call currently having a delta of 70, a 5 strike move should be greater than $350 worth of movement given the fact that the delta of the long will increase as it becomes more monied.
Trade closed manually:
This may go further, but taking profit here ... . Closing for a 2.56 credit; .35 profit.