On Thursday June 6, a pair set up very nicely. Notice the extreme low correlation, which would suggest the high likelihood of a bi-polar trend.
Note, too, that the SPY implied volatility (IV) measured over 50%– a percentage which can usually be shorted.
There are several variations:
1. Short SPX puts. This is both long the S and Ps and short volatility.
2. Buy S and P futures and short VXX stock. This is a more leveraged trade. (At this point, TOS does not accept VIX futures orders.)
3. Buy SPY calls and buy VXX puts.
4. Sell SPY puts and sell VXX calls.
5. Sell SPY put spreads, and sell VXX call spreads.
6. Any combinations of the above.
The simplest is probably the best and most prudent: sell -25 delta or lower puts in SPX. It would have matured nicely by Friday afternoon.