VIX Trading Strategies in September

We’ve tested 17 simple strategies for trading VIX ETPs on this blog (separate and unrelated to our own strategy). And while I can’t speak for all traders, based on all of my readings both academic and in the blogosphere, the strategies we’ve tested are broadly representative of how the vast majority of traders are timing these products.

Most of these simple strategies turned in poor returns in September after being short the VIX during the VIX spike late in the month. Below I’ve shown the September and YTD results of the 17 strategies we’ve blogged about previously, trading XIV and VXX. Read about test assumptions or get help following these strategies.



NAS’s VIX Futures Momentum is the best performer YTD after quickly moving to cash during every significant VIX spike so far this year.

As I’ve noted in the past, most of these strategies have lagged YTD, mainly due to getting defensive at precisely the wrong time during VIX spikes (after most of the damage was done, and just before mean-reversion kicked in). But as I’ve also noted in the past, I think the general concept of becoming defensive in the face of rising volatility is definitely still the smart play long-term.

XIV and VXX are of course not the only show in town. Below I’ve rerun the same tests, this time applying each strategy to the less popular (or is it “underutilized”?) mid-term VIX ETPs ZIV and VXZ (click to zoom).

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Stategies included in this report: First vs Second Month Futures, VIX vs Front Month Futures, VIX vs 1-Month Constant Maturity, VIX vs VXV Indices, V&M’s VIX:VXV Ratio, TM’s RSI(2)DFTB’s StDev Strategy, DFTB’s Spread Strategy, DDN’s Momentum Rotation, DDN’s VRP Strategy, 10/100-Day MA Crossovers, TWP’s Quadratic Fit, NAS’s VIX Futures Momentum, S&P 500 50/200-Day Crossovers, Brute Force Optimized VRP, LI’s Bollinger Band Strategy, LI’s SMA Crossovers

Note that when any of these strategies signal new trades, we include an alert on the daily report sent to subscribers. This is completely unrelated to our own strategy; it just serves to add a little color to our daily report and allows subscribers to see what other quantitative strategies are saying about the market.

Good Trading,
Volatility Made Simple

Posted in Real-Time Analysis.