Worst Case Scenario for Shorting VXX

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…

Taking Advantage of Leveraged ETFs

I was doing a little research over the holidays when I encountered an interesting post on the Subreddit WSB. Unfortunately, WSB is now private, so it would be pointless to share the link, however, it did lead me to dig deeper into understanding leveraged ETFs; specifically how they’re structured and what types of drag are…

“January Effect” Research

With less than two weeks left in the current year, I thought it’d be interesting to take a look at the so-called January Effect. In short, the effect is a supposed rally every year in January, which is interesting given the past three years have consecutive negative returns for the month. Another thing to note is also…

SPX Return Summaries Conditioning on VIX

So lately I’ve been revisiting some strategies on premium selling, i.e., selling SPY or SPX puts. This strategy is actually a very profitable one that has low volatility and can be scaled up to larger portfolios without worrying about a massive drawdown. The key is to know when to sell the different option maturities, and…

Slight Tweaking to Current Strategies

With the current US market climate trending towards a rising rate environment, I wanted to slightly tweak my algorithms to move to SHY rather than just straight cash. Although there is very little impact on overall performance, it does improve returns for the Full Portfolio strategy. It actually lowers the performance of just straight shorting VXX,…