Hi,
Have you tried buying puts instead of shorting stocks on uvxy?
Hi @JunhuaLi
Buying Puts on volatility ETFs after or into volatility spikes will not yield anything in the long run because the implied volatility of those options rise together with the spike. It worked in the last couple of years because we had and still have a low volatility phase. So the volatility returned faster to its mean than it does in the long term average. As soon as we enter a nervous market period you will lose money with buying Puts and you will possibly earn money buying Calls. So in the end you must have a Timing model to determine when there is a change in the market phase.
If you buy options, Calls and Puts alike, in a mechanical fashion you lose in the long run. Likewise you win by doing the opposite but you must have very deep pockets to do this and the risk adjusted return is not really great.
When I look at UVXY Puts 3 months out and 6 months out, and calculate the expected returns for each of the strike prices based on past UVXY 3 and 6 month performance when the VIX was under 13 – I don’t find any scenarios that are likely to pay off. It seems like it would be a good way to play short volatility, but the premiums are just too high.
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To protect the performance (at least on part of…) one should take out his profits from the market from time to time
It makes you happy as well… 
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