iPath S&P 500 VIX Short-Term Futures ETN (VXX)

[DrContango]

Every month as VIX expiry approaches, I ask myself where will the VIX and that back month future be on expiration date and what odds do I attribute various closing values?"

VIX 10.73
VX 06/18/2014 12.0000
VX 07/16/2014 13.3000

I truly cannot imagine the VIX opening any lower a week from Wednesday. I'll give a 2% chance that it drops to 10.00

I do not even feel that the VIX will stay at 10.73. I give that target a 20% chance. If it does, I foresee the July futures maintaining a healthy contango to spot of at least 22-25% and falling to ~13. In this scenario, VXX will still fall another 2%

A rise of VIX to at least 11.5 to 12, I give a 50% chance.

Looking at the futures at at May expiry, on May 22, the day of expiry, the VIX closed at 11.91 and the new front month at 14.1. If this scenario repeats itself, VXX might rise to 31.6

The question remains, do I feel lucky???

Doc

PS: As a partial hedge Friday, I bot a basket of SVXY Jun21 86.5/85.5 put spreads for .60 and wrote Jun21 "covered" puts with a strike of 30 against my UVXY short for $1.30. We'll see how that plays out!