Well the vix does have an edge because ViX options are based on futures which usually trade at Contango. Buying ViX puts has made money over the...
Very good!
Yes, XIV went bust (almost) and ditto SVXY but you can hedge using long dated far OTM calls on the VIX or SVXY.
So, SVXY is profitable and VXX is a disaster. You can play options exactly the same way.
Buying calls on the same basis yields a catastrophic loss over the period and this is reflected in the performance of the Vix related ETFs....
On the same basis, buying Puts (ATM as regards Cash Vix but OTM as regards the futures) using the longest dated expiries each month, when the 30...
A quick back test using this software shows that investing 5% of the portfolio in (buying) Calls when the cash Vix is below 12 results in a loss...
Actually the point of my post was simply to provide Python code and let others do what they will with it. I enjoy the puzzle of programming but...
Incidentally, I am not convinced that a "trading" approach to the financial markets is sensible or "correct" at all. I'm not convinced by this...
You still have to devise the strategies before you add them into a mega strategy. Unless of course you use a random strategy approach such as a...
The purpose was to make it simple. So that all people need is contained in the Notebook. As it is a great deal has been abstracted away through...
Incidentally if you have the data all the necessary code to read it and concatenate it is on my Gist.
I don't have the data. Its expensive stuff to buy from the CBOE. Also it very much depends how you concatenate the data into a continuous series....
The Vix is mean reverting. Here is a simple system, drafted in Python, which buys Vix Puts when the Vix is over 40 and buys Vix Calls when the Vix...
Somebody above mentioned that the Vix is mean reverting and I mentioned trading the range. Here is a simply system, drafted in Python, which buys...
Schlaf gut
A man after my own heart. But let's face it, market makers do not have to be "right". They just have to act quickly enough to benefit from their...
Might it be a good idea to provide a back test in support? Easy enough to show what would have happened historically on all such occasions in the...
Does this equate to "if realised volatility today is lower than forecast volatility at T+30 then sell the cash S&P" and vice versa? In back...
What are these methods? One poster has suggested using the mean reverting nature of volatility to sell high and buy low. One problem with this...
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