I have question to VXX LEAP put buyers. The following is 2014 Jan put prices (average of bid/ask) at the close of FRI this week, VXX 20.79.
15.0 Put 1.595
16.0 Put 2.03
17.0 Put 2.45
18.0 Put 3.125
19.0 Put 3.675
20.0 Put 4.325
21.0 Put 4.975
22.0 Put 5.65
If I bought 18.0 put at last Friday's close (3.125), how much put premium do you expect for $18 put when VXX drops 3.00 to 17.79 by end of next week (for 1 week) assuming no meaningful spike while VXX goes down? Expiration is 25 weeks away. So average time decay per week is 4% although it would be somewhat higher now and lower getting close to expiration.
When I analyzed similar case with 2012 June VXX option history data, I was surprised to see small premium increase for put relative to put premiums on the buying day.
This puzzles me as there seems to be other force decaying the premium apart from time decay even for ETN that has downward pressure/bias.
I was asking question how much premium increase one should expect for 2014 Jan $18 put bought when VXX was $20.79 if VXX drops $3 in short time, say a week, given the option preimums for 2014 Jan various strikes on the day of buying listed in the original post.