VXX is trading 24.92, down 2.3% with IV30™ down 2.8%. <img src="http://1.bp.blogspot.com/_hMry1m7UF10/TBuJi4qcqbI/AAAAAAAADE4/Z5AZxVHzAFk/s1600/vxx_summary_5.gif"> The ETN has traded over 14,700 options in the first hour. 10,000 contracts traded on a July 26 straddle purchase (a purchase of vol's vol). The Stats Tab and Day's biggest trades snapshots are included (<a href="http://livevol.blogspot.com/2010/06/vxx-vix-short-term-etn-vol-of-vol-buyer.html">in the article</a>). The Options Tab (<a href="http://livevol.blogspot.com/2010/06/vxx-vix-short-term-etn-vol-of-vol-buyer.html">in the article</a>) illustrates that the calls are mostly opening (compare OI to trade size). The puts may not be. <b>Trade Stats</b> Buy 5,000 July 26 puts $2.10 Buy 5,000 July 26 calls $1.65 Max Loss (total outlay) = 5,000 * 100 *($2.10 + $1.65) = $1,875,000 You can see the VIX is ~23 down hard from nearly 50 recently. It has followed a pattern where it bounces up and down between mid teens to ~45. Each time it hits an extreme, it moves away form that level hard. The Charts Tab (6 months) is <a href="http://livevol.blogspot.com/2010/06/vxx-vix-short-term-etn-vol-of-vol-buyer.html">in the article</a>. Finally the Skew Tab snap (<a href="http://livevol.blogspot.com/2010/06/vxx-vix-short-term-etn-vol-of-vol-buyer.html">in the article</a>) is included. It shows the vol level of the 26 strike. If the VIX pattern continues, the market will rise a bit from here, the VIX will hit 17 (ish) then the market will find fear (Europe?), and the VIX should pop. This straddle purchase essentially bets on this scenario. This is trade analysis, not a recommendation. Details, trades,prices, vols, skews, charts here: http://livevol.blogspot.com/2010/06/vxx-vix-short-term-etn-vol-of-vol-buyer.html
1) Is that straddle a gamma-scalp against the VXX or the SPY? 2) If and when the VIX gets to 17, I'll expect you to do a multi-1000-lot trade.
Your post coincided with the morning top in the market, and today's bottom in the VIX. You had yet again only a tiny chance to be wrong, and you did not miss it! Anyone who faded your post is laughing on his way to the bank.