Charlie McElligot at Nomura is issuing a lot of gamma red flag warnings for a vol shock. What the heck…a nice time to dust off a fuzzy in VXX.
Dec 20 Bot 17.5 call
Dec 20 Sold 17.5 put
Dec 20 Bot 15.5 put
Net price: .18 debit
I would guess vol stays steady here due to upcoming tariff increases on Dec 15, so I think not much decay on this–it’s a cheap way to get on some long gamma.