SVIX via VXX Puts October 2023

Today I did a reallocation for the strategy into a new set of put options to mimic SVIX and took a look at the results of the strategy so far.

Results So Far

At times the results have felt rather far off SVIX while at others it has felt rather good.

• Started August 24th, 2023 near market close with first put purchases.
• Rebalanced on October 30th, near market close with first rebalance.
• Over this period the results are as follows.
  • SVIX Actual: -8.64%
  • SVIX via VXX Puts: -16.6%
• The results of this are likely worse as when I sold the puts there was a wide bid ask spread that the C2 system will utilize but it has not yet updated on the chart.

Discussion

As of now I have no algorithm or discretionary input to this strategy that is trying to time when to get in and out. The purpose is simply to see how closely I can track SVIX with VXX put in case a firm such as Interactive Brokers removes permission to trade SVIX in retirement accounts or if K-1 forms become annoying for followers.

So far the results are not great but there are a few things I think may help. First in real accounts I may be able to get better results when crossing the bid ask spread than C2 which always sells at the bid and buys at the ask.

Also, in this first round I experimented with buying closer to the money puts because they are cheaper, but they likely are not great in the long run for doing stock replacement strategies. Though it does put more money at risk it probably is necessary to buy deeper in the money options. So for the next period I am using puts as deep in the money as I can without having to go above 100% allocation to get a -1X allocation to the VX30.

I also should note that I found an error in my calculations so for parts of the first period of this forward test I was over and under allocated to my target.

That’s all for now.

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