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I use Tradier and Tradehawk

I've found (I believe others have suggested it too) that often when not able to get a fill it helps to break it into separate put and call spreads. Recently I couldn't get a fill on the June TLT IB evn for .04 less than the mid. I got immediate fills at the mid as two separate spreads.

If you are trying to close an IC (4 legs as a single order), check if there are legs that are worthless (no bid) because it's going to be difficult to sell those legs.

Depending on your portfolio size, a very DITM put may be the best, however the extrinsic value is high even on pretty DITM puts.

Richard - Yes, I see the skew is quite large and I guess not surprising given that the VXX goes down the vast majority of the time. So any type of inverse risk-reversal strategy would have to take that into account (like by going wider or closer to ATM on the call credit spread). I haven't opened this longer term VXX down trade yet (I'd like to wait for some level of pop up first), but I definitely want to pick a trade structure that will not lose too much if the VXX does not drop below my put spread strikes (while of course not spiking up longer term which I know would be a losing scenario). I'll have to look at some different trade structures to see what I would be most comfortable with here.

VVIX is the vol of vol. It doesn't look like it trades or has options.

yes but but given the volatility skew on the puts this would not work as a normal inversed risk reversal. if you went let's say 5% OTM both ways your put spread will cost you MUCH more then you can sell a 5% OTM call spread. You also open yourself up to much more losses if VXX goes up. if you just bought fewer call spreads you would have the same risk at settlement if VXX went up vs if it stayed flat.

The prospectus talks about VXX itself. Where does it say if the options are American or European style? I'm not sure what it is but if its European and can go into backwardation then i'm concerned these trades are ticking time bombs. Certainly the VIX calendars could have unlimited liability.

This is the type of short-term trade structure I put on after a VIX pop, if the VIX rises gradually I'll move up my short strike to turn it into a calendar. If the VIX makes a huge pop (which is the worst case for this trade) then I'd close the short leg and let the long leg ride for a bit know that history is on my side (for the last 3 years or so) for a drop. That being said, I do not have one of these trades on currently - with the VIX at a fairly extreme low I'm a little uncomfortable with a 2-week trade looking for VIX to remain the same or dropping further. However, if you are looking at a longer trend trade with your long leg expiration being farther out then selling a short-term ATM put would make sense.

You are right about the margin requirement being the same for the 2 different types of trades and the return being the same if the VXX moves below your put strikes... but if the VXX winds up near expiration not moving that much and is above my put strikes and below my call strikes then the call credit spread and put debit spread combo will be break-even, but if you just use the put debit spread then the trade would be a loser.

Yowster, since VXX is cash settled, a diagonal or any time spread using has unlimited liability correct? Again it is unlikely to go too far, but there is unlimited liability because the short front month can end up more expensive then the back month. Is this correct?