Volatility Made Simple


 

The majority struggled in the final months of the year, with XIV, ZIV and other short volatility vehicles (the primary driver of returns for most of these strategies) performing poorly. Read about test assumptions or get help following these strategies.

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VIX Trading Strategies in October [0.07]

Posted on Nov. 3, 2015, 1:56 a.m. by Volatility Made Simple @ [source]

The majority enjoyed solid returns for the month, but about half are still upside down for the year. Read about test assumptions or get help following these strategies.

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VIX Trading Strategies in September [0.09]

Posted on Oct. 6, 2015, 1:11 p.m. by Volatility Made Simple @ [source]

Read about test assumptions or get help following these strategies.

See the end of this post for links to all of the strategies included in this report.

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VIX Trading Strategies in August [0.04]

Posted on Sept. 3, 2015, 9:46 a.m. by Volatility Made Simple @ [source]

There was a huge disparity in the performance of those strategies in August, based on how each responded to the month’s massive VIX spike. Those strategies that moved to a defensive position (cash or long vol) early, performed well, and those that didn’t got hammered.

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Godot Finance’s Mojito 3.0 Strategy [0.14]

Posted on Aug. 13, 2015, 3:14 p.m. by Volatility Made Simple @ [source]

This is a test of Mojito 3.0, a strategy from Godot Finance for trading VIX ETPs like XIV and VXX. Strategy results from 07/2004 trading XIV (inverse VIX) and VXX (long VIX) follow in blue, versus buying and holding XIV in grey.

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VIX Trading Strategies in July [0.15]

Posted on Aug. 3, 2015, 8:28 a.m. by Volatility Made Simple @ [source]

There was a wide disparity in the performance of those strategies in July, based on how each responded to the VIX spike that began in late June and carried into the early part of the month. Many moved to defensive positions (cash or long vol) just as the VIX began to fall.

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VIX Trading Strategies in June [0.05]

Posted on July 1, 2015, 9:37 a.m. by Volatility Made Simple @ [source]

Strategy performance in June essentially boiled down to the position held during the massive VIX spike on Monday, when XIV/ZIV fell a whopping -16.7%/-5.8%. Because of the lack of significant tells in the VIX complex on the preceding Friday, almost all of the 23 strategies were short vol into the abyss.

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VIX Trading Strategies in May [0.12]

Posted on June 2, 2015, 10:54 a.m. by Volatility Made Simple @ [source]

Most of these strategies turned in solid performances in May on the back of yet another strong month for inverse VIX ETPs like XIV and ZIV. Read about test assumptions or get help following these strategies.

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VIX Trading Strategies in April [0.11]

Posted on May 2, 2015, 12:03 a.m. by Volatility Made Simple @ [source]

Most of these strategies turned in solid performances for the month on the back of a strong run in inverse VIX ETPs like XIV and ZIV. Read about test assumptions or get help following these strategies.

comparing data key maintained position reason strategies test variation vix

 

VIX Trading Strategies in March [0.06]

Posted on April 1, 2015, 11:21 a.m. by Volatility Made Simple @ [source]

Most of these strategies turned in solid performances for the month. The popular “VRP” strategies performed particularly badly.

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