I have a question about VXX and delta.
During this wild bull market, I’ve been buying SPX calls and VXX puts. I buy the calls at about a 60 delta with a 200ish DTE. On the TOS and TastyWorks platforms, the PITM percentage is similar to delta. I use PITM because several years ago Sosnof made the case PITM is a better estimate for the probability of expiring in-the-money than is delta.
So this brings me to VXX. Delta and PITM are not even close to the same. At 200ish DTE, they are about 25 points apart.
My question is why are PITM and delta so different for VXX, and which is a better estimate of the probability of expiring in-the-money? I ask because it clearly affects strike selection and potentially affects when to roll or close.
#SPXcampaign Since today marks a further validation of the Upside Warning on the #VIXindicator, I’m selling an additional aggressive put spread, and holding off on selling new call spreads and an #ITMroll.
Sold $SPX Nov 16th (monthly) 2585/2560 call spreads for 5.10.
$CVS #ShortPuts #FallingKnife – Sold 1 CVS NOV 24 2017 65.0 Put @ 1.17. Post earnings trade with a short time frame
$CAH #ShortPuts #OptionLadder #FallingKnife – added a couple of rungs this morning.
Sold 1 CAH MAR 16 2018 52.5 Put @ 1.65
Sold 1 CAH JUN 15 2018 50.0 Put @ 1.70
STO December 22, 65 puts @1.15< these are small trades just to keep me in the market and make coffee money.
Told you /CL would move if i put on a strangle! Now just need to short GILD to make it go back up.
Rolled the 72 DTE /CL 46 put up to 47.5 locking in 600 profit and an extra credit of 0.08.
Leaving there because as soon as it hit 57 sell orders for 7337, 8420, 9000, and 6350 contracts came in and put a cap on the move. At that price I am sure some extra production will come back on line as well.
Commodities follow supply and demand better than stocks and seasonally oil is usually down until the new year. But if we keep moving I will hedge with the futures either way.
Also STO GILD 12/1 76 call at 0.86 dropping cost basis to 77.1. Have a feeling I will be rolling these for a while, still has not found a bottom.
I had thought about adding some puts but under water enough it does not make sense. Sometimes you get to a point where any adjustment is painful. Will just suck it up and roll weekly until even, hopefully won’t take all year.