Ok, so now I need to know how to play it. These are weekly put options for $21 (VXX currently at 21.72, stalled for the last 2 hours). The current price is .16/.17. They expire in 2 days.
The options are:
1) Sell these VXX put options at a loss, and buy some calls, then sell calls tomorrow morning.
2) Wait for tomorrow (again), and sell tomorrow morning.
Sell them at a loss - why? Time decay into tomorrow will be a killer.
a) SPY up tomorrow - they still lose time value overnight
b) SPY down or sideways tomorrow--they drop dramatically
They lose in every case except a HUGE and fast drop down. Feeling lucky?
VXX is down a bit. But VIX and VVIX (vola of VIX) are down a lot. That means options on practically everything are cheaper, including on VXX. VXX is down .47, yet in-the-money VXX $22 puts are only up 11 cents today. I've decided that going long XIV is better than buying VXX puts, for 1- or 2-day swing trades.
There are like 10 replies but no one answered the man's question. He's asking why not how you play it. VXX tracks VIX futures, not VIX itself. Futures are higher than spot 9/10 times. We were just in backwardation a few days ago which means aug future price was lower than July's and spot VIX. Now the spot dropped a lot but July and Aug contract didn't which is normal. If VIX stays at this level, you'll see July contract gradually comes down and meet the spot before it expires. If you think market will go up or go sideways, keep holding your VXX short. VXX will eventually come down.
best vxx blog I've ever read is volatility analytics.
It gets deep into the weeds on the math and as a person with a math degree I love it.
It's tough to find serious discussion on things on the web
I did say I think aside from the futures/spot conversion to vxx people are afraid we are just getting back to the gap down from a few days ago and are opening up some new protection.
It's not hard to think this may be a relief rally that fails