iPath Series B S&P 500 VIX Short-Term Futures ETNArca
Huraian
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... for a 2.21/contract debit.
Max Profit: 79/contract Max Loss: 221/contract Break Even: 26.79
Notes: I wasn't completely satisfied with the fill price of my 25.5/28.5 entry yesterday, so decided to put on one more in Feb if I could get a fill of a 26/29 for less than 2.25/contract ... .
2.21 good job! I show mid at 2.44 now but runs wide quick as you go out the calendar. I started a part time job cooking at a nursing home 5 minute walk from home (after 3.5 years retired - helps, but needed more activity - that is working!) so was not able to follow market today. I put on one of those long put ratios (the other one w/the long more ITM, not the back spread) and looks like it will work okay and did a call one on IWM that looks better - what I like about them on a short term (~ -3 Theta) directional play is lots of relatively cheap delta. Would post but kind of busy these days.
NaughtyPines
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@Tom1trader, I don't know what happened there in that expiry (Feb 23rd). I have two spreads on, both widened out grostequely after hours so that it appears that I'm up like .20-.25/contract in both those positions. I assume those will tighten up come Monday open, and I'll actually be up less than .05, since VXX actually barely budged. Lol. I know how it is: it frequently occurs that I just have zero time to check the markets during the day (a glance, maybe), and trying to put something on with a phone app is rarely ideal.
Tom1trader
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@NaughtyPines, My VXX long ratio is feb9 -26.5P +(2)27P, the delta is about 56, VXX moved down .04 but TW platform shows increased value $5.50. I often do but did not this time record the IV (I use percentile rank) rank. Just checked marketchameleon. com (left column links "impied volatility" symbol in search top right of any page) and see IV30 went up form 58 to 59.4 Thurs. to Fri. (close). Except on VIX spikes it usually is in range 50-70 - that 1.4 move in IV30 is 7% of its usual swing of around 20 but I think it is too small a move in overall IV to account for premium ^. But will not worry about it too much as long as it is in my favor! Keep smiling!
Tom1trader
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@NaughtyPines, Second comment, in case of feb2 good open interest and smaller spread bid-ask, especially in case of feb23 could be a combination of liquidity changes and small bump in IV. ? I have sometimes noticed that the higher volume time of the trading session can make a difference in fills too.
NaughtyPines
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@Tom1trader, I don't worry about it all that much, although I don't like being "fake up" after hours due to volume, spread width, or vol contraction, only for my account to show "down" on the following day because of the "fake up" (even though I know full well that the "fake up" probably won't stick once NY opens in earnest, spreads tighten, etc.). With fills, I'm looking to not pay more than a certain amount for a debit spread with the short put at the first OTM strike and the long out from there (it's the converse with credit spreads; I'm looking to get at least a given credit), so I'm "If it fills, it fills" kinda guy. If it doesn't, I can always try the next day ... .
Tom1trader
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@NaughtyPines, Same here, generally, db or cr in % of width. On some of my directional trades where entry is more important (timing) I stretch is some. That long backwards ratio have been taling about -I see that it is good where very low IV and no width to the premium. Then get better delta/$ than long option. When low IV but premium still fairly wide, the long option gives better delta/$.
NaughtyPines
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@Tom1trader, Less extrinsic in the longs, perhaps ... .
Tom1trader
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@NaughtyPines, Thanks, yah both long opt and backwards long ratio have high negative Theta so ordinarily just (in bullish case) bull call could beat them (although seems like have to choose, positive Theta or decent risk/reward. Guess with earnings starting up again, many stocks are ramping up volatility so when I see one 23 days out and its (incicator) Schaff trends cycle is doing a classic turn up with pos. obv etc etc makes me wonder where my bets should be. Overall am more comfortable with sold verticals, diagonals unbalanced Iron Butterflies, BWBs etc. especially on short verticals can always buy another long if flat wrong to make it a true back spread - they can go to scatch or profit with little movement because of the delta and the dip at the longs is only an issue closer or at expiration. Not losing and not making a lot but have a lot of fun figuring on this stuff!