VIX Strategy : Risk-ON, Risk-OFF

24 Mar 2022

• VRatio is the ratio of VIX3M and VIX. This ratio rises above 1.1; in a bear market, it decreases and goes below 1. VRatio=VIX3M/VIX. More details in Part 2.
  VRatio > 1: Risk-On signal
  Contango is the ratio of VX2 (first back-month contract) and VX1 (front-month contract) minus one. In a bull market, this indicator rises above 5%’ in a downtrend market, this indicator goes below -5%. More details in Part 2.
  
• Contango > -5%: Risk-On signal
  Contango Roll is the ratio of VX2 first back-month contract) and the VIX minus one. In a bull market, this indicator rises above 10%’ in a downtrend market, this indicator goes below -10%. More details in Part 2.
  Contango Roll > 10%: Risk-On signal
  Volatility Risk Premium (VRP) compares the implied volatility to the recent realized volatility; it attempts to quantify how much “extra” premium (in volatility term) S&P500 option sellers are charging investors for the protection of their portfolio. It can be seen as an insurance premium. A simple way to compute the VRP is VRP= VIX -HV10 where HV10 is the 10-day historical volatility of S&P500. Some people also look at the 5-day moving average of the VRP to smooth this indicator.
  VRP > 0: Risk-On signal
  Fast Volatility Risk Premium (FVRP) is a variant of the VRP. FVRP=EMA(VIX,7)-HV5 where HV5 the 5-day historical volatility of S&P500.
  FVRP > 0: Risk-On signal
  Volatility Momentum compares today’s VIX to last 50 days. It has, therefore, quite a bit of lag but it is a useful measure when combined with other indicators. Volatility Momentum=SMA(VIX,50) -VIX.
  Volatility Momentum > 0: Risk-On signal
  VIX Mean Reversion looks at today’s VIX compared to certain thresholds. We avoid investing in the S&P500 when the VIX is too high (above 20) or too low (below 12).
  VIX Mean Reversion > 12 and VIX Mean Reversion < 20: Risk-On signal
  VIX3M Mean Reversion works the same way as VIX Mean Reversion.
  VIX3M Mean Reversion > 12 and VIX3M Mean Reversion < 20: Risk-On signal
  

24 Mar 2022

Sürüm Notları

Fixing bugs
Adding new line

29 Mar 2022

Sürüm Notları

Just some issues