Honestly, dude, over last 25 years there were something like 50 occasions when VIX moved over 20%. Even if you would have happen to make money on all of them, that’s t-stat of 8. Accounting for the backfit (did you mention how many free variables you have?), that would be barely passable. If all the strategy is doing is going long vol when the curve inverted or went flat, you avoid a lot of them (no secret there). It’s still a short vol strategy and it is still subject to gap risk. I don’t see why anyone would pay a penny for this, all things considered.
Gap risk is key for me here, I've personally played short volatility before but only intraday (position sizes need to come way down for overnight positions). We're looking at all of this wrong though. He's very smart when it comes to marketing - VIX is the hot word (alongside bitcoin) for 2017, there's a lot of hunger for this "mysterious" instrument. He then posts on ET, which I'm sure got him some more subscribers. He takes on massive risk with the strategy but he's not in line for any of it as he gets a great return on his C2 investment when the market has a meltdown - there is really no downside. The subscribers will be crying on the floor but that's not his problem and the market will punish the ignorant anyway (as it has punished me and probably will again).
In your backtesting & experience, what is the best way to use OTM Calls, in terms of 1) how far OTM, 2) expiry (open with how many days to expiry) and 3) roll-over (close/roll with how many days to expiry? And do you recommend that clients do this or not? I am interested to hear your thoughts.
OP has probably vanished. He said we weren't as professional as the people who were fawning over him in collective2.