es and vix

[sungtaeyoo]

Does anybody long both es and vix future at the same time to hedge each other? Any possible risk for this strategy?

 

[cdcaveman]

Look at the term structure on the vix futures... big cost to hedge...

 

[sungtaeyoo]

You're right. I back-tested it and found it's not good strategy.

 

[cdcaveman]

Quote from sungtaeyoo:

You're right. I back-tested it and found it's not good strategy.

the fact that your asking such a question means you need to research alot more related to the vol complex around spx

 

[sungtaeyoo]

Quote from cdcaveman:

the fact that your asking such a question means you need to research alot more related to the vol complex around spx

a lot more? No I don't think so. It's not that complicated.

 

[cdcaveman]

Quote from sungtaeyoo:

a lot more? No I don't think so. It's not that complicated.

oh yeah....... ok i take that back.. Good Luck buddy..