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Calendar Straddle Screener For VXX Report Date:

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# Stock Stock
Price
Strike Short Leg Long Leg Credit
(Debit)
Max
Profit
Max
Loss
Profit
Loss
Net
IVol
Expiry Days P/C IVol Volume Price Leg Price Expiry Days P/C IVol Volume Price Leg Price
1 VXX 14.12 15.00 17 May '24 71 C
P
0.764
0.720
153
1
1.44
2.00
3.44 21 Jun '24 106 C
P
0.766
0.745
20
13
2.50
2.84
5.34 (1.90) 0.85 1.90 0.45 -0.027
2 VXX 14.12 13.00 17 May '24 71 C
P
0.662
0.642
20
25
1.70
0.89
2.59 21 Jun '24 106 C
P
0.680
0.657
2
6
3.20
1.50
4.70 (2.11) 0.00 2.11 0.00 -0.033
3 VXX 14.12 14.00 17 May '24 71 C
P
0.721
0.671
109
17
1.65
1.38
3.03 21 Jun '24 106 C
P
0.727
0.714
9
22
3.00
2.31
5.31 (2.28) 0.17 2.28 0.07 -0.048
4 VXX 14.12 15.00 19 Apr '24 43 C
P
0.708
0.675
185
22
0.98
1.70
2.68 17 May '24 71 C
P
0.764
0.720
153
1
1.63
2.61
4.24 (1.56) 0.85 1.56 0.54 -0.101
5 VXX 14.12 14.00 19 Apr '24 43 C
P
0.648
0.622
1,000
155
1.25
1.10
2.35 17 May '24 71 C
P
0.721
0.671
109
17
2.17
1.70
3.87 (1.52) 0.59 1.52 0.39 -0.123
6 VXX 14.12 13.00 19 Apr '24 43 C
P
0.573
0.543
28
84
1.30
0.47
1.77 17 May '24 71 C
P
0.662
0.642
20
25
2.30
1.30
3.60 (1.83) 0.01 1.83 0.01 -0.188
7 VXX 14.12 14.00 5 Apr '24 29 C
P
0.580
0.564
31
51
0.87
0.82
1.69 17 May '24 71 C
P
0.721
0.671
109
17
2.17
1.70
3.87 (2.18) 0.42 2.18 0.19 -0.248
8 VXX 14.12 13.00 5 Apr '24 29 C
P
0.467
0.462
4
15
1.40
0.07
1.47 17 May '24 71 C
P
0.662
0.642
20
25
2.30
1.30
3.60 (2.13) 0.13 2.13 0.06 -0.375
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