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.