Closed down the SVXY experiment. The 78 call was so far ITM that I could not roll it effectively without going way out in time. I was hoping for a bigger pull back to roll it up but we just had the one down day.
Anyway, it is successful to go synthetic long with disaster protection but in the future I will not cap the gains by selling a short term call against it.
Even so, profit of $8836 on 4 contracts since since the last big vol. spike on 8/17/17. So 100% return in what 11 or 12 weeks. Initial cost was $8352 averaged, there were 2 lots of trades.
So I think we are on to something here!! Go synthetic long on a big volatility spike. Buy a Leap put for disaster protection then let it ride. If I had not sold the short term calls profit was almost $15k.
Options Bistro 