Vxx put option strategy
Does this strategy work? The first study was conducted in VXX and the time frame was from to present. On every business day we sold the 16 Delta 1 Standard Deviation put and compared the strategy when the VIX was at levels below We held all positions through expiration.
A table of the results was displayed. Although all the short puts had a high POP, In almost all situations the short puts didn't make a profit. It was still a losing strategy. This has created a slow decay in the product.
As VXX declines so does its IV. That makes it difficult to sell option premium when the product is at "low" prices. Please enable JavaScript to view the comments powered by Disqus.
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VXX PUT STRATEGY (Quick N Dirty) - Rock | Seeking Alpha
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