Decay on VXX is NOT from the Daily Roll

After reading this post, I’ve realized that my trading strategy was built on an erroneous understanding of the VIX products such as VXX and UVXY. It’s actually not the daily roll that causes the decay on these ETFs, but the normal convergence of the Futures price towards the spot price of the underlying instrument as we approach…

Revisiting Short VXX

So after the last two weeks of heavy swings and poor trade timings/decisions, I’ve decided to go back and revisit some of my models. It appears that capping your gains at 5% is not exactly an optimal strategy and that just letting the F1/F2 ratio dictate your entry and exit would make you better off.…

Shorting VXX Using VIX Futures Ratio

Strategy This strategy is almost identical to my previous post, except with the difference being we will actually use the VIX Futures’ Term Structure this time to know exactly what the contango between the Front and Second month contracts are. Essentially, we will take the settlement prices of the previous day’s First and Second month…

Shorting VXX Using VIX/VXV Ratio

Strategy This strategy has a bit more complexity than my other posts. It is essentially taking advantage of the VIX Futures’ Term Structure. I won’t go into too much detail, but this article does a great job of explaining the nuances. A brief summary is that since VIX Futures are usually in contango, VXX managers…

TAA on 60/40 but Moving to Cash

Strategy Almost exactly the same as the Tactical Asset Allocation strategy from my previous post, however, rather than reallocating the entire portfolio to one asset when the other’s long window is below its short window, the strategy is to move to cash for that portion of the account. The interesting takeaway from this is that…

Simple Moving Average on SPY

Strategy

Calculate a simple 200 day moving average using the closing prices of the ETF SPY. If the current price SPY is above the 200 SMA, I will long the security, otherwise, move to cash. This is a simple momentum strategy, but powerful in that it almost completely avoids the 2008 Financial Crisis.

SPY SMA Summary

SPY SMA Stress