Investors in the Ipath Series B S&P 500 VIX Short-Term Futures ETN (VXX) saw new options begin trading today, October 18, 2023, for contracts expiring on December 18, 2023. The strike price for a notable put contract is set at $31.00, with a current bid of $6.50, offering potential buyers a cost basis of $24.50 per share if exercised. This represents an approximately 2% discount compared to the current trading price of $31.55 per share.
For call contracts, a $32.00 strike price is available, with a current bid of $6.70. If an investor sells-to-open this call while owning VXX shares, they could realize a total return of 22.66% if exercised, based on the current price. The odds of the put contract expiring worthless are calculated at 67%, while the call contract has a 35% chance of expiring without exercise. The implied volatility for the put is 95% compared to 89% for the call, while the trailing twelve-month volatility stands at 63%.
