In light of the comments I made yesterday, the S&P is still holding up modestly, though the VIX and its futures have begun to price in a worst case scenario.
I am going to begin scaling into a short VXX position against my VXX calls as these are way past their breakeven if you bought them early yesterday. Remember that in the end, I do believe a deal gets done, though I think it is an equity sell-off is in the cards this week before both sides resolve the situation.
Another thing which looks attractive to me is a short S&P/short VXX pairs trade as the spread has widened quite a bit. However, it is imperative that this is exacted using an appropriate ratio.I will probably be doing so over the next few days if these oversized VXX moves (relative to the S&P) continue.
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