Hi y'all! I've been thinking about the following trade on VIX/VXX put options: Sell N ATM VIX puts for the front month Buy M ATM VXX puts for the front month, where N and M are chosen in such manner so that VIX credit is more than VXX debit. For example, using some of today's prices: Sell 2 Dec 16 VIX puts @1.10 Buy 1 Dec 31 VXX puts @1.90 The net of this transaction is a credit of $30/combo These are possible scenarios: If VIX spikes, both options will expire worthless and the trade will have a profit of $30/combo If VIX drops, VIX put may go up to 2 (VIX getting to 14, which is rare) thus presenting a loss of ~2/combo on the VIX side. VXX, on the other hand, has no floor and may drop a lot lower than VIX (in % terms) due to contango effects. Hence, VXX put should profit more or at least close to what VIX put would lose. If VIX hovers around 16 at the time of the DEC expiration, VXX will most likely decline (contango) and both legs will be profitable. I don't intend to keep these position until expiration unless there is a big spike in VIX. What are your thoughts? RR PS. I am aware that VIX options expire earlier than VXX and VIX options are really options on VIX futures.