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Low VIX: Short SPY or Long VIX

Market Measures

VIX is at all-time lows and because of the properties of VIX, we can expect a rally in the coming months. If we want to trade this, should we get long VIX or short SPY?

Study:
  • 2005-2016
  • 45 DTE
  • Entered trade when:
    • SPY IVR < 10, 5
    • VIX < 11, 10.50, 10
  • Long SPY Put Spread -20 𝚫
  • Long VIX Call Spread 20 𝚫
  • Managed at 50% or closed at expiration
Results:
  • In the past, getting long VIX Call Spreads or SPY Put Spreads was not a profitable way to get long volatility in an extremely Low IV environment.
  • Getting long SPX Put Calendars was profitable during times of extremely low volatility.
  • The levels of VIX tested in this study do not occur often, making this study skewed.

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