VXX
Asupersededhedgerecommended 2026-05-05 · source risk_analysis_2026_05_05.md §1 / Tier 1Research-mode rules
| Research status | researching |
|---|---|
| Analysis batch | 2026-05-05-risk-analysis |
| Analysis file | codex/risk_analysis_2026_05_05.md→ risk_analysis_2026_05_05.md §1 / Tier 1 |
| Kelly size % | 2.00% of book cap |
| Stop-loss | -50% premium → exit fully |
| Time stop | 2026-09-01 → exit if <100% gain |
| Profit ladder | +100% premium → sell_third +200% premium → sell_third |
Instrument & sizing
| Instrument type | leaps_call |
|---|---|
| Strike | $35 |
| Expiration | 2027-01-15 |
| Polygon symbol | O:VXX270115C00035000 |
| Recommended quantity | 1.742 |
| Recommended dollar amount | $1,000 |
| Recommended entry price | $5.74 |
| Spot at recommendation | $28.00 |
| OTM% | 25.0% |
| IV at recommendation | 0.85 |
| Delta at recommendation | 0.53 |
Thesis summary
Volatility-shock hedge. VXX -57% off 12-month high; vol regime is ahistorically compressed. Convex payoff on any sustained vol expansion.
Linked predictions (0)
No predictions linked.
Upcoming catalysts (1 of 1)
| Date | Type | Description | Expected impact | Status |
|---|---|---|---|---|
| 2027-01-15 | expiration | VXX option expiration | volatility_only | upcoming |
Update history (1)
Most recent first.
| Updated at | Type | Source | Drift / shift |
|---|---|---|---|
| 2026-05-05 22:11Z | auto_review | cron | spot +2.5% |
Actions
Recommendation is superseded; further actions handled via the position detail page.
Status: superseded