Feb. 23, 2018

Options Backtesting Results

Historical average return: -$132.17 (backtested over 10.1 years)
Historical success probability: 6.6%

Summary

VIX call spreads are currently an inexpensive way to hedge equity declines for those expecting elevated price volatility to continue. While backtesting shows that these call spreads do not make money the majority of the time, they have historically returned 20x the premium paid in times of market stress.

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