Update on October 16th Pseudo Buy-Write on VIX

The October VIX options settled on the Wednesday the 21st with a VRO settlement value of 20.82 -- which gave me a net loss of 1.18 per option pair on my position  (my net investment was 22).  Just to rub it in a bit, the VIX ended the settlement day above 23.

 This scenario points out how useful a true VIX underlying would be for this sort of investment.  The 22.5 short call would have expired worthless on Wednesday morning and I could have sold the underlying for what I bought it at or better that same day.

  I investigated using the VXX as a surrogate for the long side of a VIX Buy-Write a few months ago, but I found that  the VXX's imperfect tracking with the VIX makes it unsuitable for these sort of trades.