Centre county Pennsylvania, USA | Link below is to one, of many, press reports on the 50 cent VIX call hedger. It describes a hedge strategy that is surprisingly simple, and very easy to implement: buy 50 cent VIX calls with 2 month expiry life. Timing and volume for those buys is up to the hedger.
https://www.bloomberg.com/news/articles/2018-06-13/-50-cent-volatili...
As a 20/20 hindsight test of that strategy, VXX calls (VIX ETN) with 1 month to expiry were used, instead of VIX calls with 2 months to expiry. End of day premiums for a VXX 50 cent call on June 17 2018 (strike = 52) is being tracked .Timing for that test coincides with the 50 cent VIX hedger's recent buys.
Table below shows the daily end-of-day call premium track to date (Jun 25 2018). Attached .jpg is an image of that table.
vxx-options-exp-2018-07-20
end-of-day premium ($/share)
call strike: 52
put strike: 27
Date_______Call premium____Put premium
06-17-2018____0.51___________0.41
06-18-2018____0.58___________0.28
06-19-2018____0.58___________0.25
06-20-2018____0.48___________0.29
06-21-2018____0.64___________0.12
06-22-2018____0.5___________0.11
06-25-2018____1.26___________0.03
 (VXX, 7 daY call premium (full).jpeg)
Attachments
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 VXX, 7 daY call premium (full).jpeg (42KB - 47 downloads)
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VXX 50 cent call, 7 day performance.
