Well take a look at the VXX chart this month:
As the market quickly moved from dire concern back to the bull-market exuberance seen for most of 2013, Implied volatilities were quickly crushed and VXX is currently trading below $13 -- a new ALL TIME LOW that puts all of the strikes involved in the ladder squarely in-the-money.
While it is very possible the trader used a delta-hedge of short VXX as part of this trade, and/or that the trade was designed to hedge a large equity stake that has lifted as the broad market bounced to new highs- both of which could offset the options losses, but looking at the options alone, we show the trade as a nearly $10 million loser.
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