Volatility Newsletter Sample

VIX Conditions

07.29. 2019

1037 am et

VN live is posted

VIX is 12.99 with the Aug futures 14.50 .   All eyes on the FOMC and the realistic range this week is 11.5 VIX or 16+.  Both areas will cause us to close winning sides.

I only update the Trade pages when a stop or close is tripped.  The Position Grid is updated through the Jul 26

 

 Trade Updates

 

Trade 168- We rolled down, the SPY puts, collected $300 with VXX near even.  At this point we just watch and wait until the 80% area.  I we see 1.80 on the VXX puts, I will close half of them.  Close to closing 2 of 5.

 

Trade 167- We closed 2 VIX Aug21 16 puts at 2.35 last night.  I am offer the last 3 at 2.50.

Trade 165-  Closed for a small win.  We had poor closes on the gains and at this point I just took even an got out.

Short Term Trades (1 to 10 days)

 

The VXX  Aug 02 23 call over 22.5 puts still is interesting.  I did reduce the ratio and would do 5 calls to 3 puts now.  Ride until Aug02 and offer out the 23 calls at 1.00 or better GTC.

 

What I am looking at (2- 4 week hold times)

 

5 VXX Aug30 puts 22.5 puts for 2.00

5 SPY Aug30  288/298 for 1.53   As I assumed, we lost nothing WAITING since everything is stUck on the FOMC.  In general, if a pair keeps getting cheaper in contango, I will wait.  I most likely will allocate half today and half tomorrow.  I will about that around 2pm Et.  At 293 the SPY put spread pays $300 so that is a point of reference on HOW MUCH to spend on VXX puts.  Since we are a week out I added duration.

 

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