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November 27, 2012  Tue 9:27 AM CT

VXX: SEE CHART GET CHAIN FIND STRATEGIES
The VXX volatility exchange-traded note bounced off an all-time low this morning, but one large call spread sees no upside in the near term.

The iPath S&P 500 VIX Short-Term Futures ETN is up 0.74 percent at $29.96 after dipping to $29.32 earlier in the day. It collapsed from above $37 two weeks ago and is down 98 percent from its opening value of $1,600 in February 2009, after two reverse splits.

A trader bought 3,000 December 33 calls for the ask price of $0.88 and sold the same number of December 29 calls for $2.03, according to optionMONSTER's tracking systems. The volume at both strikes was more than open interest, so this was a new credit spread. (See our Education(See our Education section) section)

The trader takes in $1.15, which will be the full profit at expiration if the VXX is below $29. The maximum loss is $2.85 if shares are above $33.
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Education & Strategy

Gamma

As we continue to discuss the Greeks, we come to the first of the strike based Greeks called Gamma. Gamma is known as the second derivative, while delta is the first.

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