VIX Futures Basis Trading: The Calvados-Strategy 2.0

Sibyl-Working-Paper, Jan 2014

16 Pages Posted: 16 Jan 2014 Last revised: 21 Jan 2014

Chrilly Donninger

Nimzowerkstatt OEG

Date Written: January 21, 2014

Abstract

I developed in a previous working paper the Sidre and Most-Strategy. The strategy relies on the typical termstructure of VIX futures. The Calvados is a refined and condensed version of these strategies. The starting point was a paper of Simon and Campasano. The authors demonstrate that the VIX futures basis does not have significant forecast power for the change in the VIX spot index, but does have forecast power for subsequent VIX futures returns. It is especially profitable to short VIX futures contracts when the basis is in contango.

The original Calvados working paper presented improved metrics and parameter settings of the Simon&Campasano approach. The current working paper improves the original work in several points and extends the historic backtest.

The overall patterns of the original results are reassured and improved upon. The Calvados is traded in the Sybil-Fund. It is so far the pick of the bunch. One gets a lot of fun for a medium dose of risk.

Keywords: VIX Futures Trading

JEL Classification: G13

Suggested Citation

Donninger, Chrilly, VIX Futures Basis Trading: The Calvados-Strategy 2.0 (January 21, 2014). Sibyl-Working-Paper, Jan 2014. Available at SSRN: https://ssrn.com/abstract=2379985 or http://dx.doi.org/10.2139/ssrn.2379985

Chrilly Donninger (Contact Author)

Nimzowerkstatt OEG ( email )

Altmelon 110
Arbesbach, Lower-Austria A-3925
Austria

HOME PAGE: http://www.godotfinance.com

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