Watching the futures grind higher overnight, I was given reason to conclude that the crawl might resume along the former short-term trend line. Alas, the market reversed course this morning.
I decided to add a VXX straddle at the 46 strike of the March 14 expiration. The risk graph appears thus:
The VXX ETF is in perpetual decline due to its construction in relation to the volatility futures.
However, the VXX could once again reach 50-55 lickety split.
It could also subside just as quickly. Any sudden turn in the Ukrainian situation would make the trade highly profitable. If the VXX moves nowhere, time decay of the options will render the spread a loser. I am not surprised by anything in the market, but the latter possibility seems the least likely of the three outcomes.
History haunts all efforts to defuse the situation surrounding Sevastopol.