VXX skew pretty much blew up in August. The highest strike trading right now is 180 in Jan-2012 options (it is 45 in the pre-split strikes, not on the regular chain) at 136% implied volatility. Delta risk in these options is very very small: for example during 2008 crisis SPVXSTR index rose from low of 53010 to 231276, a 336% increase. Extrapolating to todays VXX, assuming that we repeat 2008 VXX could rise from low of 20.11 (in the beginning on July) to a maximum of 87.74. Obviously we're nowhere near these levels, and my model tells me that the odds are that we'll never reach these levels. On the other hand during 2008 it took almost 3 months from minimum to maximum ( from low in Aug 2008 to high in November 2008 ). Extrapolating the dates we could see VXX peak at the end of September. The chart below superimposes current VXX trajectory (red) on the adjusted SPVXSTR levels from 2008 (blue) . X-axis in trading days.
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