My recent options strategy has proved to be very profitable. To remind you, I recommended buying volatility on January 13, when I suggested two strategies: either being long VXX March at-the-money options (puts and calls with a strike $23) or being long out-of-money options (puts and calls with a strike of $18 for the puts and $28 for the calls). The first strategy cost $6.80 per contract, while the second one cost $3 apiece. If you followed my advice, you would have earned 21% on the long straddle and 50% on the long strangle, according to the current prices on the market opening today (VXX is up 5.8% as of the time of writing): (Source: Yahoo Finance)The above data are for the calls (Source: Yahoo Finance) The above data are for the puts Notice that implied volatility is edging up for the puts and is slowly dropping for the calls. This has two effects: my gains on the calls are being trimmed by the change in IV, while my puts are limiting their losses with the growing volatility. Remember that out-of-money options are more sensitive to implied volatility (Vega is higher for them) than at-the-money options. In addition, they have lower Delta. The reason why the out-of-money strategy has played out so well is that the initial cost was very low. Because implied volatility is growing for the puts, which are out-of-money now, I get an indication from the market that investors are expecting a downside move in VXX in the short-term. This is why market makers are pricing the options higher. On the other hand, investors have to remember the VXX goes up every time the markets are down. I do not see any positive catalysts for the markets to move up in the short-term: China is still going down, oil just broke below $28 per barrel, the earnings season is still at least a month away for most companies. Therefore, I remain long on my VXX calls. Do you think VXX can reach a level of 35% over the next 30 days? I do, for sure.