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Suppose vix spot is the underlying. The vix futures move as the vix spot moves.They could be considered as a non-linear derivative of vix index. And they have some similarity with an ATM option: the time decay becomes faster and faster as it comes to expiration, and the delta also becomes...

Well, I think a quant can make it within minutes. I cannot do it because I'm don't know how to write code. Anyway, I can also make it within few hours, trade by trade.

It seems that TOS can only do backtesting trade by trade. But I want do some systematic trading following some fixed rules.

Thank you. I will try it.

Hi, does anyone know where can I do some backtesting on option strategies? For example I want to test this: When Vix futures is in contango,buy ITM puts on VXX every Monday and close it every Friday. Start from 10000 USD and see how it performed in the pasr 4 years.

Thank you for providing such important information. Which software/database did you use to make that chart? I tried to calculate the price of vxx before its existence but didn't get correctly. The XIV/VXX pair trade seems to perform well. But there might be a problem: the vxx declines in...

In 2008, vix jumped from 19 to nearly 80 within few weeks. That's a -300% move for short vix futures positions. Of course the futures price will be in backwardation, but still...You can figure it yourself. A 100% rise for vix means a 50% drop for svxy. XIV is the same thing as SVXY. You can...

To trade svxy, using bull OTM puts spread is much better than selling naked puts. Svxy has a good possibility to drop to 0. I'm not kidding. This is not a just a theoretical thing.

There are options on SVXY, that's the same as XIV.

It seems that mb is good for retail traders, who trade less than 5 contracts one time. They seems have no hidden fees, at least I haven't discovered yet. Their demo account is really powerful. I'm also looking for brokers that charge only one side fee for a spread trade. Do you know any?

When it is in contango, short the nearest month, when it is in backwardation, long the nearest month. And hold it untill expiration. Or close it if the condition changes.

Actually it is the vix index which has a high tendency to regress. As for vix futures, the premim/discount is the key. I would long vix futures when vix is high and short it when vix is low. This is a question of conditional probability.

The most important thing you need to understand is that a vanilla option, no matter it is a call or put, always has positive gamma. That means if you buy options you benefit from the increase of volatility and suffers from time decay. In my mind, managing gamma is the key to trade options...

Does any one use MB trading? Their rate seems to be cheap for small traders(0.95 each contract). And there is no minimum funding requirement.

That's not always true. If vix spikes and keeps to be high, vix futures will be backwardation. So buying xiv will result in big loss. Check out the situation in 2008.

I'm sorry I don't understand.

That's not difficult. You need to combine a number of vix futures and short, mid and long term bonds and test its performance. The best sharpe ratio is the best.

such as?

The only problem with this strategy that I can imagine is that US government default. Which you will be trapped anyway.

It is widely known that shorting vix futures is a profitable strategy, but it suffers from sudden drops as vix spike. Suppose you short vix futures and long a number of treasury bond futures, you will be protected when market becomes panic,and in long term both sides have positive returns. Is...