By Saqib Iqbal Ahmed NEW YORK (Reuters) – Days before Thanksgiving, Kris Sidial, a co-founder at volatility arbitrage fund The Ambrus Group, told investors the firm was betting that extreme price moves in some volatility-tracking exchange traded notes were likely to get worse. The firm bought deep out-of-the-money call options on the iPath Series B S&P 500 VIX Short-Term Futures ETN – relatively inexpensive contracts that had a low chance of making money but stood to explode in value if the share price were to soar. This week, VXX shares jumped as much as 60% over the course of two trading day…