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August 8, 2014

$VXX - 8/8/14

  • Strategy: Bearish Put Calendar
  • Underlying: VXX
  • Trade: BUY +1 CALENDAR VXX 100 SEP 14/AUG5 14 32 PUT @.90 LMT
  • Trade Price: $90 debit per spread
  • Margin: $90 per spread
  • DTE: 21
Risk Profile:

We're selling Aug5(W) 30 put and buying Sep 30 put. Aug5 is a weekly option that expires in 21 days. This trade benefits from time decay in short option and increase in volatility because our long option has more time until expiry.