I agree with your assessment. Looking at a weekly

I agree with your assessment.

Looking at a weekly IC on VXX.

I calculate the SD for 4 remaining trading days to be $1.76 which puts the $21 level just outside the SD.  Delta on the $21 is 13 which isn't bad but given the volatility of VXX, I'd like to be further out.  Looking at a daily chart, the absolute low of VXX going back to July of last year was $19.88  I can't see VXX going much lower especially with the VIX at 16.43.

On the bull put 20/21 I could get 08 on the midpoint and 05 on the 26/27 bear call.  That is a 13% ROR for a weekly play.  Not bad considering that the 26/27 is outside the SD by about $1.40 with the delta on the 26 at 13.  Now VXX can certainy move in a big way which means management will be key if the position goes against me but overall, this looks pretty safe.  Good support on the downside and well outside the SD on the upside should net me a nice profit.  Thinking of trading 16 contracts per wing.