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Market Measures

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Low VIX: Short SPY or Long VIX

Market Measures

Options involve risk and are not suitable for all investors. Please read Characteristics and Risks of Standardized Options before deciding to invest in options.

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?

  • 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
  • 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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