1. my trades this week:

- JAN 05 - covered VXX 12JAN07C37 @ $0.06, covered IWM 12JAN06C76 @ $0.03, shorted IWM 12JAN13C75 @ $0.64

- JAN 06 - shorted 12JAN13C34 @ $0.62

2. results, observations, analysis: 

- the lessons from the current trades, 1. on Thurstay and also on Friday - wait to find out which direction the market is heading, 2. if market is going up, start to position yourself to to short VXX calls, if the market is going down, look for shorting IWM,

- this week I shorted IWM 75C when the price of IWM began to increase from about $73.50 to over $74.50, almost the same story with VXX, I shorted VXX 34C and the price of VXX went up, but after that it tumbled -  you never know

- I stick to my plan (this needs to be revised) and do not go after higher premiums,

- nevertheless- it becomes now more clear that it has to be done late Thursday/early Friday, the reason - time decay!

- my portfolio value loss is due to decrease in the price of VXX, my reduced increase in cash flow is due to lower premiums I received from the previous week trades.

1. my trades this week:

- DEC 23 - covered VXX 11DEC23C40 @ $0.01, shorted VXX 11DEC30C36 @ 0.61, covered IWM 11DEC23C74 @ $0.52 (I could have done better - my offer was hit when I was lowering it to $0.47), shorted IWM 11DEC30C76 @ $0.36

2. results, observations, analysis: 

- VXX continued its downward movement, and this was only partially compensated by IWM price increase, nevertheless I ended up being forced to buy back the call for the latter (IWM slightly ITM),

- it seems that during the holiday season traders are much less aggressive and that has materialized in significant drop in IV for both instruments (IWM down to 25-30%, VXX to 70-80%), and therefore lower premiums,

- deltas of written calls have been below 0.35, which allows me to think there is a high probability of them ending OTM,

- I will be continuing this weeky cycle (with weeklys of course) with possible modification to the proportion of contracts.

- I will also try to fine tune my strategy regarding not only when to enter the trade (Thu, Fri) but also when to exit/roll the trade, or even get out of the position completely.

Since about two months I am actively experimenting (meaning trading) with a
IWM/VXX pair to play with covered calls. They demonstrate a negative correlation
in the range between -0.85 and -0.95. First, I tried to balance this portfolio
(1:1) to get as close as possible to delta neutral, but I found out that even
within few days it would change significantly due to instruments' price changes.
Lately, I have changed it to 6:4 - 6:5 (IWM:VXX) to minimize the standard
deviation of the value of the portfolio.

Since the beginning of November my cash flow is as follows: -3.23% (ouch - I had
to buy back Nov 04 VXX 39 Call, for $4.85), 0.78%, 1.05%, 1.14%, 1.35% and
0.49%. The SD of my portfolio value is 1.33% (lately - after making some
adjustments).

I am selling calls 2 to 4 strikes above the current instrument prices (deltas
are between 0.2 and 0.3). There are the weeks when both calls expire worthless
(hurra!), but there are also the itchy weeks that one of the call ends up ITM,
or even DITM.