The automated Quantcha Trade Ideas Service has detected a promising Covered Call trade opportunity for IPATH S&P 500 VIX ST FUTURES E (VXX) for the 16-Mar-2018 expiration period. You can analyze the opportunity in depth over at the Quantcha Options Search Engine.
VXX was recently trading at $33.66 and has an implied volatility of 72.29% for this period. Based on an analysis of the options available for VXX expiring on 16-Mar-2018, there is a 68.27% likelihood that the underlying will close within the analyzed range of $21.85-$52.73 at expiration. In this scenario, the average linear return for the trade would be 13.34%.
Moneyness: These options are currently 33.69% out of the money and there is a 28.74% likelihood that these options will be exercised before or at expiration.
Most upside: If IPATH S&P 500 VIX ST FUTURES E closes at or above $45.00, this trade could return up to 48.47%. Based on our analysis, there is a 26.10% likelihood of this return.
The downside: As with any covered call, the risk is substantial as it is vulnerable to a downturn in the underlying itself. There is a 39.86% chance the underlying will close at or below its breakeven price of $30.31, resulting in a net loss on the trade.
To find the best covered calls on the market, be sure to check out Quantcha’s covered call screener.
To analyze this trade in depth, please visit the Quantcha Options Search Engine.
This is an automated post generated based on a market analysis of delayed data at 11/6/2017 9:41:28 AM ET. The analysis does not include brokerage fees or commissions and is not investment advice.