Short shares, Long Calls, Short Puts
Does it work? You short the shares because TVIX is the worst ETF of all time, buy OTM calls in case the VIX pops, but short OTM puts at the same time so that you don’t get murdered by the IV in the calls that make them so expensive.
In theory you make money shorting the shares and make up the premium from the calls from the premium received on the puts. Your target price would obviously be the strike of the puts. Inversely your max loss would be the strike of the calls +/- whatever the debit/credit of your options was.
Is this free money? Have I cracked the code?
Looking for thoughts and prayers on this. GLTA.
EDIT: ETF must be UVXY due to lack of options trading for TVIX
Disclaimer: This information is only for educational purposes. Do not make any investment decisions based on the information in this article. Do you own due diligence.