Context: I almost exclusively trade QQQ medium dated credit spreads and let theta decay work in my favor. As we entered the year with VIX at a record low, I thought to myself “why not just open an ATM bull put credit spread on VIX and wait for the next big market event to send VIX up a few points?” So this week I decided to finally pull the trigger on a small test trade. I opened up a put credit spread expiring a few months out. Details in the bottom right of the photo. According to this P&L chart, I should be up by nearly $300 (33% profit) now with VIX above 17. However, the value of my position remains relatively unchanged.
I have a feeling I’m missing something obvious and I’m sure I’ll get roasted for asking but what am I missing? Are VIX credit spreads somehow different than the regular QQQ spreads I’m used to?