Playing the Short Side on SPX
Although I’ve created return summaries for both SPX and RUT, I didn’t actually create a daily Worst Case Scenario summary for the various products that my portfolio is exposed to. Thus, I’ve created a few tables below to summarise return statistics for SPX, RUT, VXX, etc.
Daily RUT Return Statistics Conditional on RVX
| Statistics | RVX < 19 | 19 <= RVX < 22 | 22 <= RVX < 28 | 28 <= RVX < 35 | RVX >= 35 |
| Total Occurences | 946 | 728 | 805 | 437 | 351 |
| Mean Returns | -0.01% | 0.08% | 0.01% | 0.09% | 0.07% |
| Return Standard Dev. | 0.85% | 1.06% | 1.32% | 1.64% | 3.29% |
| 25th Percentile of Return | -0.48% | -0.56% | -0.81% | -0.92% | -1.93% |
| 50th Percentile of Return | 0.05% | 0.19% | 0.08% | 0.11% | 0.09% |
| 75th Percentile of Return | 0.55% | 0.81% | 0.89% | 1.20% | 2.01% |
| Max One Day Return | 2.19% | 2.92% | 3.82% | 4.63% | 9.27% |
| Worst One Day Return | -3.78% | -3.81% | -3.97% | -5.95% | -11.85% |
| Worst Return Day | 04-12-2013 | 06-23-2016 | 10-31-2007 | 08-03-2011 | 11-28-2008 |
| RVX Close on Worst Day | 16.06 | 21.02 | 25.93 | 28.02 | 65.09 |
Probability Heat Map for Daily Loss Thresholds and RVX Levels
Daily SPX Return Statistics Conditional on VIX
| Statistics | VIX < 15 | 15 <= VIX < 20 | 20 <= VIX < 25 | 25 <= VIX < 30 | VIX >= 30 |
| Total Occurences | 2029 | 1605 | 1262 | 594 | 551 |
| Mean Returns | 0.02% | 0.02% | 0.01% | 0.06% | 0.13% |
| Return Standard Dev. | 0.58% | 0.84% | 1.14% | 1.46% | 2.46% |
| 25th Percentile of Return | -0.29% | -0.44% | -0.65% | -0.84% | -1.27% |
| 50th Percentile of Return | 0.05% | 0.05% | 0.05% | 0.06% | 0.23% |
| 75th Percentile of Return | 0.37% | 0.54% | 0.72% | 1.01% | 1.52% |
| Max One Day Return | 1.93% | 2.54% | 4.76% | 5.01% | 11.58% |
| Worst One Day Return | -3.47% | -3.59% | -6.87% | -5.83% | -9.04% |
| Worst Return Day | 02-26-2007 | 06-23-2016 | 10-24-1997 | 04-13-2000 | 10-14-2008 |
| VIX Close on Worst Day | 11.15 | 17.25 | 23.17 | 29.40 | 55.13 |
Probability Heat Map for Daily Loss Thresholds and VIX Levels
SPY and TLT Momentum Daily Return Conditional on Signal
| Statistics | SPY 25 - 220 | TLT 35 - 70 |
| Total Occurences | 4359 | 2252 |
| Mean Returns | 0.06% | 0.02% |
| Return Standard Dev. | 0.94% | 0.91% |
| 25th Percentile of Return | -0.39% | -0.50% |
| 50th Percentile of Return | 0.08% | 0.05% |
| 75th Percentile of Return | 0.55% | 0.54% |
| Max One Day Return | 5.81% | 5.17% |
| Worst One Day Return | -7.25% | -5.04% |
| Worst Return Day | 10-24-1997 | 08-10-2011 |
| Short SMA on Worst Day | 67.88 | 84.90 |
| Long SMA on Worst Day | 59.88 | 80.62 |
VXX and UVXY Daily Return Conditional on Signal
| Statistics | VXX | UVXY |
| Total Occurences | 1681 | 1154 |
| Mean Returns | -0.31% | -0.67% |
| Return Standard Dev. | 3.57% | 7.34% |
| 25th Percentile of Return | -2.37% | -4.72% |
| 50th Percentile of Return | -0.62% | -1.17% |
| 75th Percentile of Return | 1.36% | 2.62% |
| Max One Day Return | -13.28% | -26.66% |
| Worst One Day Return | 20.70% | 37.03% |
| Worst Return Day | 08-17-2011 | 11-08-2011 |
| VIX Close on Worst Day | 31.58 | 27.48 |
| F1 Settle | 32.73 | 28.90 |
| Spot/F1 Ratio | 0.96 | 0.95 |
VIX, F1, and RVX Return Summary
| Statistics | VIX | F1 | RVX |
| Total Occurences | 6041 | 2901 | 3268 |
| Mean Returns | 0.20% | 0.12% | 0.14% |
| Return Standard Dev. | 6.53% | 5.79% | 5.58% |
| 25th Percentile of Return | -3.62% | -2.81% | -3.25% |
| 50th Percentile of Return | -0.32% | -0.58% | -0.33% |
| 75th Percentile of Return | 3.27% | 2.20% | 2.85% |
| Max One Day Return | -29.57% | -89.96% | -22.23% |
| Worst One Day Spike | 64.22% | 35.83% | 43.52% |
| Worst Spike Day | 02-27-2007 | 6/24/2016 | 8/8/2011 |
| Index Close on Worst Day | 18.31 | 22.65 | 54.84 |
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