The Best VIX Strategy I’ve Found….But Still Don’t Quite Believe

  • SumoMe

Sorry folks, I had to pull this one at least for now.  It was pointed out to me that there was a flaw in the calculations I was using…..which would explain why it “looked too good”.

I am going back to the drawing board to re-examine if there is still some way to make the original idea useful.

Thanks to Mike and www.Quantocracy.com for alerting me to the potential “error in m ways.”

Jay Kaeppel

2 thoughts on “The Best VIX Strategy I’ve Found….But Still Don’t Quite Believe

  1. Thanks, Jay! Appreciate your insights and especially your writing je ne sais quoi.

  2. I assume commissions and interest rates aren’t included in that graph, right? Commission would be negligible since you’re only trading once a year. However interest on the stocks you’ve borrowed would dig into that profit a bit. I’m guessing there’s one of those pesky real-world flaws here somewhere, otherwise there would be no money left in the world (because the person who discovered this before you would have it all and not want to share). But since I’ve never actually shorted a single share of stock directly, I don’t know all there is to know about this.

    I personally just started swing-trading SVXY (inverse VIX). It works better with my simple-mindedness, and then I don’t have to use the word “contango”. I COULD use the word, but I don’t have to.

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