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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 28.91 30.00 4 Oct '19 42 C
P
0.808
0.959
3
5
2.61
4.15
6.76 15 Nov '19 84 C
P
0.764
0.863
146
19
3.85
5.45
9.30 (2.54) 3.97 2.54 1.56 0.140
2 VXX 28.91 29.00 4 Oct '19 42 C
P
0.804
0.935
4
1
2.92
3.50
6.42 15 Nov '19 84 C
P
0.751
0.849
53
306
4.20
4.80
9.00 (2.58) 3.61 2.58 1.40 0.139
3 VXX 28.91 28.00 4 Oct '19 42 C
P
0.776
0.888
41
9
3.25
2.88
6.13 15 Nov '19 84 C
P
0.737
0.828
287
272
4.50
4.10
8.60 (2.47) 3.37 2.47 1.36 0.099
4 VXX 28.91 30.00 15 Nov '19 84 C
P
0.764
0.863
146
19
3.70
5.30
9.00 20 Dec '19 119 C
P
0.747
0.840
50
13
4.55
6.20
10.75 (1.75) 4.03 1.75 2.30 0.041
5 VXX 28.91 29.00 15 Nov '19 84 C
P
0.751
0.849
53
306
4.00
4.60
8.60 20 Dec '19 119 C
P
0.736
0.825
101
57
4.90
5.50
10.40 (1.80) 3.70 1.80 2.06 0.039
6 VXX 28.91 29.00 18 Oct '19 56 C
P
0.763
0.875
249
122
3.30
3.90
7.20 15 Nov '19 84 C
P
0.751
0.849
53
306
4.20
4.80
9.00 (1.80) 3.22 1.80 1.79 0.037
7 VXX 28.91 28.00 15 Nov '19 84 C
P
0.737
0.828
287
272
4.35
3.95
8.30 20 Dec '19 119 C
P
0.719
0.814
104
7
5.20
4.85
10.05 (1.75) 3.46 1.75 1.98 0.032
8 VXX 28.91 30.00 18 Oct '19 56 C
P
0.777
0.882
1,739
99
3.00
4.55
7.55 15 Nov '19 84 C
P
0.764
0.863
146
19
3.85
5.45
9.30 (1.75) 3.54 1.75 2.02 0.032
9 VXX 28.91 28.00 18 Oct '19 56 C
P
0.743
0.846
416
92
3.70
3.25
6.95 15 Nov '19 84 C
P
0.737
0.828
287
272
4.50
4.10
8.60 (1.65) 3.10 1.65 1.88 0.025
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