Stock / Symbol: IPATH S&P 500 VIX SHORT TERM / VXX
Option Strategy: [private_monthly]broken wing butterfly[/private_monthly]
Price at trade post: $27.00
Reasoning: With market volatility relatively low, I'm putting on a [private_monthly]broken wing butterfly[/private_monthly] on VXX. The greeks going into this trade are: 26.5 delta, 0.4 theta, and 0.1 vega.
BTO 2 VXX Apr15 27 calls
STO -4 VXX Apr15 30 calls
BTO 2 VXX Apr15 31 calls
for a max net debit of $0.65 per contract. The mid is currently at $0.60 (GTC order, limit order). Try for the mid +0.01.
Option Requirement $0
Total Requirements $122
Estimated Commission $12
Max Risk: $122
Max Reward: $450 or 369% (at current volatility level) @ [private_monthly]30 [/private_monthly]by Apr 17th
Profit Range: at/over $27.65 by Apr 17th
Suggested Downside Stop: @ 25.50
Suggested Upside Stop: NA