Trade #1: VXX Put Butterfly
Exit
Update 12/27: Vol move was in the expected direction, but it crushed too fast in the first half of the Christmas week, and popped quite a bit on Friday with the market selloff. I closed the trade during lunch hour when VXX was slightly below the profit range.
- Close stats
- Underlying: $44.54
- Premium: $0.16
- P/L: -$18 per trade + $4.5 transaction cost
Enter
Around lunch time, the market’s attempt of rallying back in the morning seemed to have failed. I used a VXX PFLY to fade the volatility spike, expecting a vol crush in the Christmas week for about 10%.
- Trade: VXX Z4.27 45/47/49 PFLY
- ToT stats
- Underlying: $51.95
- Premium: $0.34
- P/L ratio: ~4.9x