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My best strategy for VIX - VIXTrader


I never saw this - @aum108 & the guys at EliteTrader absolutely nailed it.

I think because a lot of the gain (I’m sure this could be quantified) of XIV comes from close to open. Stats would probably be remarkably different if it were market open to close only.


You are correct about overnight gains. In rough terms and stopping at the end of January 2018, returns including overnight (ie, close to close daily returns) gives approximately a 43% CAGR since XIV inception, whereas day only (open to close daily returns) gives about 30% CAGR.


aum108 asked:Are you going to use Options to hedge in the Future?

The answer is no and yes…

No; Options are not the best answer to manage the risk… It cost you a lot and 99% of the time you do need need them and they will not give you the best cover to the risk…At the most, options are good only for Saturday and Sunday…

The answer as I see it is to buy Futures ONLY when the risk is increasing during the sessions… Simple as that.
This strategy will be an integral part of every VIX strategy I manage.ץ


I Agree Charles. I think that is one of the main problems of individual investors.