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It's actually not that strange... What's probably happening is that the market is pricing a bigger implied move in CMG post earnings after the big moves in GOOG and NFLX (+17% in both). The same thing is probably happening in AMZN. In addition VIX is now dramatically lower compared to where it was a week ago. So the short legs are pricing a bigger move, going up in value and reducing the spread price to historically low levels. I believe that this will be slightly reversed next week, but I'm not expecting the CMG spread to reach very high values that we've seen before this cycle. But I still believe that entering around $3.00 is a great entry point, just lower your expectations for huge gains.

Looking at a long term chart of VXX, buying puts or put spreads certainly works out well historically as that current month to next month futures swap works in your favor most of the time. I was thinking of placing a longer term trade using VXX options 6 months out and buying ITM puts or a OTM put spread. I'm also expecting VXX to do a reverse split in the near future as its price is getting too low. Regarding shorter term trades for the VIX to drop after it rises for a few days in a row. I love VXX diagonals for this where I'll short a slightly OTM put expiring in 5-10 days and buy a slightly ITM put the next option series out. You can use farther dated options if you like, but since the VIX dropping back down usually happens fairly quickly I like the shorted dated ones. If the VXX works against me and continues to go up, I'll turn the trade into a calendar. If the VXX drops as expected, I'll close the trade near the short leg expiration.

You don't want to use VXX or UVXY, they have significant contango drag with the VIX futures, unless the you think the VIX term structure will go from contango towards backwardation in a short time period. It basically means that when the front month VIX futures are less than the 2nd month VIX futures, they are in a contango state, and VXX and UVXY is constantly selling front month VIX futures to buy next month VIX futures (which is going to be more expensive) on a daily basis. So when VIX futures are in contango, VXX and UVXY will constantly go down. That's why it has to periodically reverse split, because they constantly go towards 0, unless there is backwardation in the VIX futures term structure, where VXX and UVXY will pop and go up 10-30% in a short time period. There's more info about this on the following sites: http://vixcontango.com/Site/Introduction#InsideVolatilityETFs http://sixfigureinvesting.com/2013/04/how-does-vxx-work/ http://seekingalpha.com/article/3012686-how-does-uvxy-work http://seekingalpha.com/article/3327635-caution-needed-in-the-current-volatility-market http://vixcentral.com/ The risk reward on the 16/13 August put spread is a max profit of 210, and max loss of 90 per spread. The breakeven is VIX at 13.90 at August expiration. I'm expecting that VIX won't stay at 12 between now and then, just based on the fact that there's a fed meeting at the end of the month, non-farm jobs report the first week of August, there's additional economic data coming out, a ton of earnings reports, etc. I'd still make something off the spread if there's just a small temporary pop in the VIX. In addition to that SPY & SPX IV Rank is at 0%, and VRatio (VXV/VIX) is above 1.2. That doesn't mean that it's definitely going to be a winning trade, but I like the odds that VIX won't stay at 12 and under for the next month.

Hi guys, here my update. June was a tough month for me as I had to study a lot for an exam but overall I find I improved and I getting better understanding of the whole process. What I believe I learned I try now to enter roll limits for earning straddles before I receive trade notification from SO try to analyze earnings candidates on my own to get in earlier than SO personally I like non earining trades more because of greate liquidity and htey are easier to follow Keep you guys updated about my improvements Cheers