Volatility Persistent through the Trading Day $UVXY $VXX $XIV Jan 30 2018

As I said in an earlier post, many new traders woke up to an unusual volatility spike. Those of us doing this for more than a year remember when this happened on a regular basis. 


So far today: 

  • $SPY down to 281.22 but bounced up to around 282 
  • $VXX spiked up to over 31.80 but has settled down to about 30.75 at the moment or up about 3.35% on the day 
  • $XIV is the inverse of the $VXX, and $UVXY is double the $VXX and have moved accordingly.  
  • I bought a teensy amount of $XIV at 121, haven’t added, haven’t sold. 
  • I sold some covered calls against both the $UVXY and the $VXX.  These are spread out over the next three expirations Feb 2, Feb 9 and Feb 16. 

But here’s what I did this afternoon: 

I bought two calendar put spreads, one in the UVXY and the other in the VXX. 

For each 100 shares of equity in these names I bought the same number of puts with a strike price of 27 for the VXX and a strike price of 12 in the UVXY. 

I sold and equal number of puts with the same strike prices in the two names (27 and 12) that expire on Feb 16. 

I paid $120 for each UVXY put spread and $133 for each VXX put spread. 

Since all the long, covered calls expire by Feb 16 I figure I can’t lose. These names can’t be both above and below the two strike prices on Feb 16, right? 

Buying puts on volatility names has frequently been a winner for me in the past. When volatility is high is usually when you can get quite a good price for the near dated short option and then as volatility falls these short options peter out pretty quickly.