Short M1 VIX futures hedged with 10 30 day ATM VIX options

Discussion in 'Risk Management' started by dcwriter2, Oct 25, 2021.

  1. Anyone backtest or know of any backtests for this trade versus a short M1 Long M2 VIX calendar spread?
     
  2. destriero

    destriero

    10:1 and it's a synthetic long put. Ratio-ed (larger) and it converges to a straddle. You're better off shorting a combo struck somewhere between cash and the synthetic, but you don't know what you're doing, so there is that (wrinkle).
     
    jys78 likes this.
  3. newwurldmn

    newwurldmn

    he’s been crushing it on this strategy to the point that he’s been asking about the tax consequences and how he can deduct his closet as a home office.
     
    destriero likes this.