VOLATILITY PRODUCTS; NEW UVXY 52-WEEK LOWS

19 ก.ค. 2015

With UVXY at 52-week lows, it may be worthwhile to consider whether going long via a short put spread could be productive; I have worked various set-ups with VXX, but cannot get enough juice out of a play in light of the underlyings's low price. The drawback of UVXY from an options standpoint, however, is that it is frequently "illiquid" (i.e., bid/ask spreads > .05), but I've found that doing "market discovery" is worthwhile, setting your fill price slightly above the mid, seeing if it fills, and then revising your price if it doesn't. Many an hour of mine has been wasted dicking around with "market discovery," but I can't stand paying more than a fair market price for something.

Here is one potential set-up: Aug 21 (34 DTE) 19/23 short put spread for 1.07 credit with a POP of 69%, BE at 21.93, max loss $293.00.

Naturally, we are in the off market, and the VIX futures will in all likelihood move upon market open and into the New York open ... . Additionally, from a premium selling standpoint, UVXY is a bit unattractive (IVR currently at 29), but I generally play VIX products (ironically) not for volatility, but for movement of price ... .