My Short-Long VIX Trading Strategy is Delivering

by Robert Zingale|Published March 13, 2012

Author: Robert Zingale

Covestor model: Volatility Mean Reversion

Currently, short-term VIX futures are experiencing rolling costs (first to second month futures) greater than 10%, which is working in favor of my short iPath S&P 500 VIX short-term fund (VXX) position.

Therefore, I plan to maintain my current asset allocation strategy of short VXX and long iPath S&P 500 VIX Mid-Term Futures (VXZ) while these rolling costs remain above 6.5% as shown in the table below.

If the rolling costs fall below 6.5%, I will reduce exposure accordingly.

AUTHOR

Robert Zingale

I have a passion for investing and have been actively managing my personal brokerage accounts since I was an undergraduate at Cornell University. Through my studies at Cornell, I realized that the only way to accurately statistically model an asset is to determine what the average price of that asset should be. I use VIX futures to implement my investment strategy, based on my valuation assumptions.

20 posts