VXX Settlements for 11/20/20

Settlement price: 18.57. 1-week out (11/27/2020) values:

Strike	Bid	Ask	IV	Delta	Gamma
16.00	2.62	2.78	0.020	1.000	0.000
16.50	2.18	2.32	0.561	0.964	0.059
17.00	1.72	1.85	0.571	0.913	0.115
17.50	1.31	1.43	0.593	0.824	0.182
18.00	0.99	1.05	0.621	0.705	0.231
18.50	0.80	0.84	0.734	0.571	0.223
19.00	0.60	0.62	0.764	0.461	0.216
19.50	0.50	0.53	0.865	0.379	0.183
20.00	0.38	0.41	0.896	0.304	0.163
20.50	0.30	0.35	0.960	0.251	0.138

2-weeks out 12/04/20 values (18.57 settlement)

Strike	Bid	Ask	IV	Delta	Gamma
16.00	2.73	2.86	0.617	0.919	0.068
16.50	2.31	2.43	0.624	0.870	0.095
17.00	1.95	2.06	0.669	0.794	0.120
17.50	1.64	1.75	0.710	0.714	0.135
18.00	1.39	1.49	0.755	0.634	0.141
18.50	1.20	1.28	0.806	0.560	0.138
19.00	1.04	1.10	0.851	0.494	0.133
19.50	0.90	0.97	0.897	0.437	0.124
20.00	0.79	0.85	0.939	0.387	0.115
20.50	0.70	0.75	0.980	0.344	0.106
21.00	0.62	0.67	1.019	0.307	0.098
21.50	0.55	0.60	1.057	0.276	0.089

3-weeks out values 12/11/20 (18.57 settlement)

strike	Bid	Ask	IV	Delta	Gamma
14.00	4.60	4.90	0.782	0.951	0.029
15.00	3.70	3.90	0.677	0.928	0.045
16.00	2.90	3.05	0.713	0.845	0.076
17.00	2.25	2.36	0.768	0.731	0.098
18.00	1.76	1.87	0.840	0.614	0.104
19.00	1.41	1.51	0.913	0.512	0.099
20.00	1.16	1.25	0.987	0.430	0.091
21.00	0.97	1.05	1.054	0.364	0.081
21.50	0.89	0.97	1.086	0.336	0.077
22.00	0.82	0.90	1.116	0.311	0.072
22.50	0.76	0.84	1.149	0.290	0.068

[20-Nov-2020] UVXY $1 ITM

This seems too good. Technically only paying .30 for a calendar spread where the short side expires 2 weeks prior to the long. Hoping for the long side to have at least $1.00-1.50 of value left. If market crashes, this will do well too.

[18-Nov-2020] VXX ITM combo

Bot 15c/Sold 16c. Paid less than a dollar (.95) for a combo that is 1) already in the money by $1, and 2) long leg doesn’t expire for another 2 weeks after short leg. Hopefully VXX trades no lower than $16 by 11-Dec. $15 is breakeven. If market crashes, this should do well too.

[13-Nov-2020] UVXY

$10 strikes on both legs, so no extrinsic risk; Max risk is $.63 x 3. Optimal scenario, UVXY trades down to $10 by 18-Dec. Remaining leg value will hopefully be $1.20-$1.50 for a 50% gain in ~1 month.

[1-Dec-2020] Update

The trick seems to be setting up with negative delta and positive theta. Sold 1 unit at .91 (from .63) today.