LATEST ADVENTURES IN $VXX

• Posted by chicagosean
• on September 7th, 2010

While on vacation last week, I had a strong urge to clear the decks and begin the post Labor Day trading stretch with a clean slate.

Going into the vacation, I was sitting on a $VXX straddle position hedged to delta neutral with some stock against it (discussed in previous posts). As $VXX plunged towards the end of the week, I took the opportunity to exit the entire position for a very small gain (while sitting on the beach, via the thinkorswim app for Droid – sweet!).

However, I wasn’t completely successful in clearing the decks as I soon after initiated a small long position in $VXX around $20.00. Oh well. It still felt like something fresh, and I’m limiting my risk to selling it out if it breaks the $17.84 low set in April. Otherwise, I feel $VXX may see a slight lift this week (as of this writing, its headed in the right direction)

Having done this, one of the decisions I made during vacation was to move all $VXX options trading action to a demo account. I’ve got a gamma scalping strategy that I’ve been working through and attempting to execute with my live trading account. However, due to the small amount of cash I’ve got committed to the operation, my overhead is having a dramatic drag on performance. So my goal for now is to trade it much larger in the demo account to build a track record for possible presentation to potential backers or proprietary trading firms.

Meanwhile, after this current $VXX long plays itself out, I’m going to begin tinkering with an alpha-generating strategy to outperform the equity indexes. If you can’t join ‘em, beat ‘em!…

The information in this blog post represents my own opinions and does not contain a recommendation for any particular security or investment. I or my affiliates may hold positions or other interests in securities mentioned in the Blog, please see my Disclaimer page for my full disclaimer.

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