Got curious, made an indicator for this, guess should publish. Plots difference current close with any number of periods, not an average just the diff (put an avg on it). Ran it on VXX with 60 days; knew this and UVXY have been rev-splitting often still . . . Price change (in this case, drift) from 60 days ago runs most of the time between -$10 and -$20. Had to check whe I saw how deep in the money you had placed the short leg - shouldn't be a problem.
NaughtyPines
⋅
@Tom1trader, I usually set these up one ITM/one OTM. Now that I look at it, was short of a VXST/VIX ratio >1.00 print. Gave it some "extra time" going out to Jan ... . As always, "we'll see how it goes," look to bail at 50% max.
Tom1trader
⋅
@NaughtyPines, Good luck with it. I published that indicator and noted you in a comment but had been awhile and used # instead of @, will update it.