Using VXX as VIX alternative with good P/L
Yesterday I've played an alternative VIX instrument.
I've tired to searching good ROI or P/L rates at VIX $20 VIX support, so I've searched some alternative, but VIX related instrument.
Lets see what can give us this BARCLAYS BANK VIX Short ETN (=VXX)
(1) Yearly support + incoming buy volume
The lowerst value of the previous year was $13.
In the past month significant buy volume arrieved.
Combined this two reason could lead into sidewalking or bounceback from this level.
VXX is a Trust, so we see volume displayed (unlinke in the case of the VIX)
(2) VIX play ROI vs VXX ROI
You could see VXX like an ETN alternatative of the VIX.
Same dates for big edges, and melting down between the big edges.
Compared this two instument's ROI: the conclusion is obvious.
VXX ROI at support $13 for April with vertical spread: 37/63 = 58%
VIX ROI at support $20 for April with vertical spread: 20/80 = 25%
CONCLUSION
I'm buying a few call spreads for April, because the IVR not so high.
I think this is a very good P/L rate with a very high probability of profit!
- Target: ............. 52%
- Max profit: ...... $111
- Max loss: ......... $189
- IVR: ................... 20
- POP: .................. 65%
- Expiry: .............. 44days
- Sell 3 VXX April 16' $13 call
- Buy 3 VXX April 16' $12 call
Take profit strategy: I'm taking at the 65% of max.profit in this case.
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Commentaire:
Hope back on this setup.
See that bounceback at the all time low level 13$ support:
See that bounceback at the all time low level 13$ support:
Transaction en cours:
I've doubled my position with vertical spreads. Now 50/50 the P/L rate.
I'm expecting some bounce at least for the next few days. This could be a good opportunity to exit this setup in profit.
Let's see.