Well, VXX is looking ugly for this trade, but we have a defined risk (cost of the Put Spread) and expiration isn't until Jan 17, which is just late enough into Jan to maybe catch a reversal. Since a change in sentiment could happen overnight due to news, and the Santa Rally is defined to end the second trading day of Jan., and we saw a significant sell off of equities last Jan 2016, I'm going to hold this position. Also, it is not a large position.
The VIX is at 11.50 as I write this 11:45am ET 12/22/16 and is higher than the open. We're still very near summer 2016 lows. I would exit any position if my thesis (reason for entry) is proven wrong, but I don't think we're there yet.
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