The stats are in our VXX trade, entered 14 days ago – closed on Friday 13, 2015.

Stock quote and option quote for VXX on 10/19/15 10:11:06

DOW S&P 500 NASDAQ RUS 2000 VXX
-194.010 -21.600 -52.978 -7.545 0.969
-385.90 -42.86 -113.31 -18.69 0.0681
-1.16% -1.12% -1.54% -0.72% 1.29%

VXX – UNDERLYING PRICE STATS AND COVERED RETURN/INVERSE FORMULA

Look on the Right side column “C-Return” and “Inverse”.  This is the key factor in knowing whether to lean into the Call or Put side.

Asset Price 21.96 C-Return 1.4900
Net Change 1.400 Inverse -0.4900
Price Action 1.9100 Inverse P Act 0.7236
STDEV Price 0.361 IV Rank 0.6005

Below is our “front month” outcome – November Option Cycle.  The Call reaped $1779.00 in profits, while the Put fell prey to “time decay” eventually zeroing out almost all Ask/Bid strike premiums.  Our loss was $0.38.

NOV 15 (14) 100

Call OFFSET Put
$1,179.00 $1,179.38 $0.38
Strike 17 Strike 18
Premium 5.05 DELTA Premium 0.040
Entry Price 1.12 PUT Entry Price 0.039
Target 5.19 Target 0.18
Skew Price 5.21 IV Skew Price 0.206
Delta Hedge 0.2430 CALL Delta Hedge 0.811
Gamma 3.5006 Gamma 0.1106
IV 0.610 SPRD > .0003 IV 0.417
Intrinsic 3.900 CALL Intrinsic 0.015
Strike 17.00 ~ Strike 18.00
Ask-Bid Spread 0.000 PUT A- B SPREAD 0.000
Prob of Profit 0.2419 ~ Prob of Profit 0.800
Profit/Loss $1,179.00 Profit/Loss $0.38

(Disclaimer:  This is posted for educational purposes only.  We make no claims or advise to make trades based on this data.  All of our posts are Proof of Concept for a working Excel spreadsheet model titled <codex.qbt>.)

For more information please write to use at: tecktomaket4@gmail.com immediately.  You don’t want to miss out the insightful data inputs that help your trading strategies to be mechanical and profitable.

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