The Volatility Newsletter
Today’s Commentary
05/25/2018

900 AM ET

Trade#117 If we trade down to $33 VXX today we roll the whole VXX Jun01/Jun08 33 put time spread to the VXX Jun01/Jun08 32 put time spread. That is a close and open trade.

Trade #115 We do have an ITM VXX Jun01 36.5 puts to contend with. At this point I am inclined to close it, roll to the VXX Jun01 33 put by EOD today. I will use $34.5 VXX as a hard stop to make this roll or we just roll into the close.

VIX Conditions Now

VIX cash is 13.20 with the VIX Jun future 14.13. We still have contango but it is a little below the OP fair value area. While the vol products still decay there is not enough edge to add more vol products puts for now.

The biggest issue is lack of VIX future real edge to add new trade at this vol level. Flat curve is different in Zone 1 than Zone 3 for instance.

Each Open Trade is updated in the new “Trades” tab. We are updating

this part of the service for ease of use.

Day Trades

Long VIX May30 13.5 or 14 puts if we have a $1 of real contango value. This is still a hold possible to Tuesday. Buying VIX Jun20 15 calls 1 to 1 to hedge.

Trades I am watching

Long 2 VXX Jun15 33 puts and 3 SPY Jun15 260/266/272 put butterflies is still on the table but I need more like 1.50 in VIX Jun20 contango value to green light this trade.