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
