Today, I wanted to revisit the Simple Moving Average cross for trading SPY since it is still a major holding of my portfolio. Originally, I was optimizing the cross by maximizing the Sharpe ratio across the entire 10 plus-year history from 2007 onward. However, I thought it would give a better idea if I had…
I’ve been experimenting these last few days on fixing up my “optimal” contango ratio to enter or exit short volatility. This came about because of someone’s response to my post in Quantopian; essentially, given that I’m checking the ratio between the VIX Spot and the Front month futures’ settlement, it’s to be expected to converge…
Given the current low volatility environment, I’ve been doing some research and application on the material in Jeff Augen’s Volatility Edge. What I’m hoping to accomplish is a more informed action plan for short-term trading using primarily options on SPX, VIX, and JNUG. In an earlier chapter in Augen’s book, he mentions that it is worthwhile…
Now that I’ve been trading the short VXX strategy and its variations for almost a year; I felt very motivated to try and estimate some worst case scenarios before 2009 when VXX was created. To do so, I did some rough quick and dirty calculations using the historical VIX Futures settlement prices as well as…