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iPath Series B S&P 500 VIX Short-Term Futures ETN
Long

Using VXX as VIX alternative with good P/L

By TanukiTrade
Updated

Yesterday I've played an alternative VIX instrument.
I've tired to searching good ROI or P/L rates at VIX $20 VIX support, so I've searched some alternative, but VIX related instrument.

Lets see what can give us this BARCLAYS BANK VIX Short ETN (=VXX)

(1) Yearly support + incoming buy volume

The lowerst value of the previous year was $13.
In the past month significant buy volume arrieved.

Combined this two reason could lead into sidewalking or bounceback from this level.

VXX is a Trust, so we see volume displayed (unlinke in the case of the VIX)

snapshot

(2) VIX play ROI vs VXX ROI

You could see VXX like an ETN alternatative of the VIX.
Same dates for big edges, and melting down between the big edges.

Compared this two instument's ROI: the conclusion is obvious.

VXX ROI at support $13 for April with vertical spread: 37/63 = 58%
VIX ROI at support $20 for April with vertical spread: 20/80 = 25%

snapshot


CONCLUSION

I'm buying a few call spreads for April, because the IVR not so high.

I think this is a very good P/L rate with a very high probability of profit!

  • Target: ............. 52%
  • Max profit: ...... $111
  • Max loss: ......... $189
  • IVR: ................... 20
  • POP: .................. 65%
  • Expiry: .............. 44days

Strategy: long call vertical spread (average IVR)

  • Sell 3 VXX April 16' $13 call
  • Buy 3 VXX April 16' $12 call

Stop: Closing immediately if daily candle is closing below $13.
Take profit strategy: I'm taking at the 65% of max.profit in this case.


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Comment
We've arrived in a danger territory, keeping my eyes at 13$ all time low level.
I'm expecting some bounce at least for the next few days. This could be a good opportunity to exit this setup in profit.
Let's see.
Comment
Hope back on this setup.
See that bounceback at the all time low level 13$ support:
snapshot
Trade active
I've doubled my position with vertical spreads. Now 50/50 the P/L rate.
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