I am interested in your views on an idea: Selling straddles on VXZ to finance long straddles on VXX. Currently, the December straddles on VXZ are trading at a midpoint of $5.12. VXX straddles of the same expiration are at $10.12. Selling VXZ straddles and using the money to buy VXX straddles sounds interesting to me because I feel like the risk is well hedged. VXX tends to move at least twice as much as VXZ in either direction, and usually more. Its contango cost is generally more than double that of VXZ, and when it spikes, it goes up more than double VXZ. During the Covid spike of March, 2020, VXZ doubled while VXX went up 4-fold. What are the risks of this spread and does it seem potentially profitable?