Suppose vix spot is the underlying. The vix futures move as the vix spot moves.They could be considered as a non-linear derivative of vix index....
Well, I think a quant can make it within minutes. I cannot do it because I'm don't know how to write code. Anyway, I can also make it within few...
It seems that TOS can only do backtesting trade by trade. But I want do some systematic trading following some fixed rules.
Thank you. I will try it.
Hi, does anyone know where can I do some backtesting on option strategies? For example I want to test this: When Vix futures is in...
Thank you for providing such important information. Which software/database did you use to make that chart? I tried to calculate the price of vxx...
In 2008, vix jumped from 19 to nearly 80 within few weeks. That's a -300% move for short vix futures positions. Of course the futures price will...
To trade svxy, using bull OTM puts spread is much better than selling naked puts. Svxy has a good possibility to drop to 0. I'm not kidding. This...
There are options on SVXY, that's the same as XIV.
It seems that mb is good for retail traders, who trade less than 5 contracts one time. They seems have no hidden fees, at least I haven't...
When it is in contango, short the nearest month, when it is in backwardation, long the nearest month. And hold it untill expiration. Or close it...
Actually it is the vix index which has a high tendency to regress. As for vix futures, the premim/discount is the key. I would long vix futures...
The most important thing you need to understand is that a vanilla option, no matter it is a call or put, always has positive gamma. That means if...
Does any one use MB trading? Their rate seems to be cheap for small traders(0.95 each contract). And there is no minimum funding requirement.
That's not always true. If vix spikes and keeps to be high, vix futures will be backwardation. So buying xiv will result in big loss. Check out...
I'm sorry I don't understand.
That's not difficult. You need to combine a number of vix futures and short, mid and long term bonds and test its performance. The best sharpe...
such as?
The only problem with this strategy that I can imagine is that US government default. Which you will be trapped anyway.
It is widely known that shorting vix futures is a profitable strategy, but it suffers from sudden drops as vix spike. Suppose you short vix...
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