The Vix rarely trades over 40. Maybe once every 10 years. You should tighten that range to 25 or 30 on the high side and 10 to 12 on the low side, if you want to make it a more actively traded strategy. Also, when the VIX hits 40 put options are incredibly expensive (high implied volatility). VIX calls are also in general very pricey (high IV's). You're better off selling expensive VIX calls like the 50 or 60 strike just to be on the safe side, if you think the stock correction has run its course. Just hope it's not 2008 all over again when you sell those calls.
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 don't profess to be able to tell people how they should actually trade. I'm not sure there is actually any demand for such code but I really don't know the audience here. Perhaps they are all far better at programming than I. Perhaps not. The proffered notebook is simply a way for people not so proficient in coding to take what I have provided and work out for themselves whether the want to range trade the Vix or not. Or sell rather than buy. My gist provides several other strategies for the Vix including a strangle and a credit spread. If its of any use to anyone then great. If not then no harm done. But thank you for the thoughts anyway!
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 over the period 2006 to the end of the time series. Note however that re-allocation is monthly not daily and the concatenated time series used is using the furthest out expiry at the monthly reallocation date. Also for this test the strike price used is an long way out of the money. My gist has software to roll or concatenate the options in different ways - ATM, OTM, ITM. Using Different expiries - 30 days, 90 days. Whatever. But again your comments are welcome. And help my thought process.
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 day cash Vix is at 10 or above, yields a profit over the period. Buying calls on the same basis would result in considerable loss. The reason is you are buying options on futures which are normally in a state of Contrango.
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. Continual selling Vix futures (short vol) is profitable because of Contango continual buying of Vix futures is loss making for the same reason. I was in XIV and hedged with long dated calls on svxy and thus profited last year. You can go buy OTM puts on Vix futures and also a higher geared and smaller percentage of Vix calls (eg at twice the level of the then current cash Vix). Various test runs using software on my gist showed a CAGR of 15 and a Max DD of around 26.5 on this basis. Again rolling monthly and using the longest dated expiries available.
Yes, XIV went bust (almost) and ditto SVXY but you can hedge using long dated far OTM calls on the VIX or SVXY.