I topped up my short position in VXX.
music selection: “Every Day Is Exactly The Same” — Nine Inch Nails
My long puts in UVXY continue to be “dead money”. My best guess is the position is ultimately a losing one (currently down over $13k.) I expect to recover a lot of that but may take the hit early to harvest the tax loss. The trade still works. There is just a one off event from the reduction in leverage during the early year volatility events that left long options buyers holding the bag.
I have since taken to shorting VXX directly. I tried this before with UVXY but the borrowing rate was punitive and shares to borrow often became scarce. I was always getting a warning from my broker that my shares had been sold by a counterparty and they were searching for an alternative lender but I might be forced out at the market price if that effort failed. VXX has proven to have much more reasonable borrowing rates and I have never gotten a notice that the broker is looking for shares to borrow.
I am now keeping 7.5% (notional) of my Interactive Brokers taxable account in VXX short shares. Whenever my exposure falls 1,000 dollars below the target, I top up by shorting more shares. To that end, I shorted 50 shares VXX at 32.40 today. I now hold 728 shares short with proceeds of 29,488. Exposure sits at 23,522 indicating an unrealized short term capital gain of 5,966. Since February, my interest expense at the brokerage has been about 120 a month. Some of that is from short positions in F and AMCX but most of it is from VXX (I am not aware of a report that would let me zero in on the details.) At any rate, it seems I’m up about 5 thousand net.
I will be paring this trade back if the 2 year treasury yield passes that 10 year yield. If the 90 day yield passes the 10 year yield, I will close it completely.
Devour your prey raptors!