Effective Volatility Trading Strategies and Insights
Discover a range of innovative volatility trading strategies and insights from Ilya Kipnis, providing a comprehensive overview of why volatility trading is crucial, key strategies to consider, and practical tips on optimizing your trading approach. Explore methods like V-Ratio, Momentum Rotation, and Volatility Risk Premium to enhance your volatility trading performance and reduce potential risks.
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Presentation Transcript
A Primer on Volatility Trading Strategies By: Ilya Kipnis https://quantstrattrader.wordpress.com
Can We Do Better? Want to avoid steep drawdowns Sell vol in calm times Buy vol in not-so-calm times Stay on the sidelines in some cases. Different strategies have different criteria for what constitutes calm or not. Assumption: execute on next day s close. Obs close + buy close: magicalThinking = TRUE
Easy Volatility Investing: V-Ratio Go long vol (VXX) when SMA(VIX/VXV, 10) > 1, short vol (XIV/SVXY) otherwise.
Easy Volatility Investing: Momentum Rotation Switch between the highest 83-day momentum between XIV/SVXY, ZIV, VXZ, and VXX.
Easy Volatility Investing: Vol Risk Premium Long XIV/SVXY when SMA(VIX 10day SPY vol, 5) > 0, long VXX otherwise.
Easy Volatility Investment Idea Rejections! Next? Vance Harwood s simple ratio: long XIV/SVXY when VIX/VXV < .917 (can be mirrored to long VXX when VIX/VXV > 1.083).
A Simple Prototype I Published In Late 2014 Compute ratio: VIX3M/VXMT (aka VIX6M) XIV/SVXY when ratio < SMA(ratio, 60) & ratio < 1, VXX vice versa.
A Refined Prototype Volatility Investing Can Be Done Well! A strategy I currently trade (started trading late April 2017), latest iterations on short vol applied late 2017, latest iterations on long vol after Feb. 5
Volatility Trading Resources (Beyond My Blog) Vance Harwood s Six Figure Investing https://sixfigureinvesting.com/ Invest In Vol (Volatility RIA) https://investinvol.com The CBOE has VIX futures data. http://cfe.cboe.com/market-data/historical-data- archive https://markets.cboe.com/us/futures/market_statistic s/historical_data/
Thank You! Contact: ilya.kipnis@gmail.comhttps://quantstrattrader.wordpre ss.com
