Friday, March 23, 2012

Closed -- iPath S&P 500 VIX Short Term Futures ETF (VXX)

The position in iPath S&P 500 VIX Short-Term Futures ETF (VXX) was closed today at a substantial loss. The position was established in the event of a significant pullback in the S&P 500. This pullback has not occurred and market volatility has continued its recent decline.

The transactions history was as follows:
02/24/2012 Sold 3 iPath S&P 500 VIX Short-Term Futures ETN (VXX) Mar2012 $25.00 Put Options @ $2.49
Note: the price of VXX was $23.76 today when these Puts were sold.
03/17/2012 Options assigned and VXX purchased at $25.00 strike price.
03/23/2012 Sold-to-Close 300 VXX shares @ $18.30

The overall performance result (including commissions) for the iPath S&P 500 VIX Short-Term Futures ETF (VXX) transactions was as follows:
Stock Purchase Cost: $7,508.95
= ($25.00*300+$8.95 commission)

Net Profit:
(a) Options Income: +$735.80
= $2.49*300 shares - $11.20 commissions
(b) Dividend Income: +$0.00
(c) Capital Appreciation (Stock sold at $18.30): -$2,018.95
+($18.30-$25.00)*300 - $8.95 commissions

Total Net Profit: -$1,283.15
= (+$735.80 +$0.00 -$2,018.95)

Absolute Return: -17.1%
= -$1,283.15/$7,508.95

1 comment:

  1. Hey Jeff,

    Ouch on this one. I too am taking a bit of a hit on VXX but with a spread rather than NP. Mine expires in May and I'm holding out to see if it might be profitable (I need it above 21 by exp).

    Reason for the comment, though, is if you're looking for protection, now might be a good time to re-enter. There are some pretty juicy premiums out there.

    Jeff W