VIX - any other mean reverting indices

Discussion in 'Strategy Development' started by pistolpt, Aug 29, 2012.

  1. Does anyone else know of any other mean reverting indices out there that have trade-able products like the VIX?
    I know there are other VIX's - oil, gold, etc. but I'm not sure if a retail investor can trade these.

    Basically I'm wondering if there is another mathematical measurement like the VIX that can be traded by a retail investor.
  2. sle


  3. smt1


    I'd think if you can trade VIX options/futures, you can trade GVZ, OVZ, EVZ, etc...
  4. the mean of anything is Flux remember that! and as well know the risks of ETF's that derive their values from futures contracts...
  5. If you select pairs properly, pairs trading can be pretty good at mean reversion.

    Synthetic stock price = Stock1 - Stock2

    Buy Stock1, Sell Stock2, that kind of thing...
  6. Ya I saw these but they have limited history and their volume has been sketchy, if any.

    VSTOXX - not sure how retail investor would trade that. Looking to see if futures are available in the US.
  7. How is the VIX system you came up with a little while back going Pistolpt?
  8. Just fine.
    +6.40% in July.
    Looks to be around +14% in August. We'll see after "the Bernanke" speaks.
  9. what system are you trading ..?
  10. my own VIX Futures trading system.

    Ended up +16.0% for August.
    #10     Sep 5, 2012