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Well the vix does have an edge because ViX options are based on futures which usually trade at Contango. Buying ViX puts has made money over the long term if you can stomach the drawdown. Ditto XIV and SVXY if you hedge with deep out of the money calls and keep cash holdings as well rolling each...

Very good!

Yes, XIV went bust (almost) and ditto SVXY but you can hedge using long dated far OTM calls on the VIX or SVXY.

So, SVXY is profitable and VXX is a disaster. You can play options exactly the same way.

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...

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...

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...

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...

Incidentally, I am not convinced that a "trading" approach to the financial markets is sensible or "correct" at all. I'm not convinced by this range trading strategy either. The range will shift and change. If you take a look at the chapter I wrote for Harriman House and their New Book of...

You still have to devise the strategies before you add them into a mega strategy. Unless of course you use a random strategy approach such as a nature inspired algo which simply tries anything and everything and gradually learns. Assuming learning of a complex system is possible. Such an...

The purpose was to make it simple. So that all people need is contained in the Notebook. As it is a great deal has been abstracted away through libraries. The idea was that people can download this and extract the Pandas dataframes to Excel. I do not think there would have been much point in...

Incidentally if you have the data all the necessary code to read it and concatenate it is on my Gist.

I don't have the data. Its expensive stuff to buy from the CBOE. Also it very much depends how you concatenate the data into a continuous series. So I'm not getting too excited. I have done a huge amount of work on all this over the past year or so but I fear I am no closer to trading it!

The Vix is mean reverting. Here is a simple system, drafted in Python, which buys Vix Puts when the Vix is over 40 and buys Vix Calls when the Vix is below a certain level. CAGR 20%, Max DD 27%. Scroll down for charts of the equity curve. Download the code from my Gist

Somebody above mentioned that the Vix is mean reverting and I mentioned trading the range. Here is a simply system, drafted in Python, which buys Vix Puts when the Vix is over 40 and buys Vix Calls when the Vix is below a certain level. CAGR 20%, Max DD 27%. Scroll down for charts of the equity...

Schlaf gut

A man after my own heart. But let's face it, market makers do not have to be "right". They just have to act quickly enough to benefit from their built in advantage: the bid offered spread. And of course we are given to understand the operators in the HFT space are privy to inside information...

Might it be a good idea to provide a back test in support? Easy enough to show what would have happened historically on all such occasions in the past.

Does this equate to "if realised volatility today is lower than forecast volatility at T+30 then sell the cash S&P" and vice versa? In back testing? On the grounds that higher realised volatility usually occurs in falling markets? And in answer to the question of the original poster, if this...

What are these methods? One poster has suggested using the mean reverting nature of volatility to sell high and buy low. One problem with this approach is you have to wait for extremes or at least levels which, historically at least, look to be high or low. While implied volatility can always go...