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Hi
after reading Fooled by Randomness from Nassim Taleb, I was looking for some Black Swan hedges / strategies.
There area lot of people suggesting buying far OTM VIX Calls and profiting from large VIX spikes. I found that the potential is there! just see that big spike, but it is very difficult to pull the liquidation trigger.
Following my code, which buys the VIX calls and then toys to sell them. So far the best results I got with a standard MACD.
May someone else would be intrigued?
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VITALY KONTOROVICH
What made you believe ‘far OTM VIX calls’ (not sure which instrument exactly you referenced) are not priced correctly? VIX is the index. Are you talking about calls for some of related ETFs? or about futures of the index? Imo, the idea is not extremely attractive. I guess it is (a) too expensive to roll the position; (b) difficult to close at a moment of spike which will lead to need of plain execution with significant reduction of ‘potential’ profit. Just my ‘2 cents’ without much of real analysis.
AK M
I've looked into this with volatility ETNs. It's profitable, but also pretty sporadic. I use it as a hedge and it helps minimize drawdowns.
I would recommend you look into trailing stops to help with your exits.
Carsten
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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