Selling VXX straddles

Discussion in 'Options' started by ajensen, Apr 13, 2017.

  1. ajensen

    ajensen

    The implied vol of VXX is often much higher than trailing realized vol. Does anyone follow a systematic strategy of selling VXX volatility? Does it have a higher Sharpe ratio than selling SPY or SPX straddles? I understand that VXX can be quite volatile.