VIX on Jared Szajkowski, P.E., PMP

Investigating A VIX Trading Signal, Part 3: Trading

Mon, 03 Mar 2025 00:00:01 +0000

Trading History

I have recently started trading based on the ideas from part 2, using the following as guidelines:

Look for opportunities when the VIX is the 7 - 10th deciles to buy puts, opening positions during the VIX spikes and closing them as volatility comes back down
Look for opportunities when the VIX is in the 1 - 4th deciles to buy calls during periods of lower volatility based on seasonality
When volatility spikes, sell call spreads and buy puts
When volatility is low, buy calls
Open positions with 2, 3, and 4 months to expiration
Close positions within 4 - 5 weeks of expiration to avoid theta drag

The executed trades, closed positions, and open positions listed below are all automated updates from the transaction history exports from Schwab. The exported CSV files are available in the GitHub repository.

Investigating A VIX Trading Signal, Part 2: Finding A Signal

Sun, 02 Mar 2025 00:00:01 +0000

Investigating A Signal

Continuing from where we left off in part 1, we will now consider the idea of a spike level in the VIX and how we might use a spike level to generate a signal. These elevated levels usually occur during market sell-off events or longer term drawdowns in the S&P 500. Sometimes the VIX reverts to recent levels after a spike, but other times levels remain elevated for weeks or even months.

Investigating A VIX Trading Signal, Part 1: VIX And VVIX

Sat, 01 Mar 2025 00:00:01 +0000

Introduction

From the CBOE VIX website:

“Cboe Global Markets revolutionized investing with the creation of the Cboe Volatility Index® (VIX® Index), the first benchmark index to measure the market’s expectation of future volatility. The VIX Index is based on options of the S&P 500® Index, considered the leading indicator of the broad U.S. stock market. The VIX Index is recognized as the world’s premier gauge of U.S. equity market volatility.”