etfmsolutions: Introducing the VIXEN...02.07.18

Wednesday, February 7, 2018

Introducing the VIXEN...02.07.18

With the demise of XIV and the intrinsic decay characteristics of the VXX ETN here is the new version of the VIX trader. This model has been under wraps for the past 6 months but now seems like an appropriate time to turn it loose and see how it runs. A few things to keep in mind here.....the model only signals when the VIX value is about to increase short term. A --- signal does not mean short the VIX...it means take no action.
The metrics DO NOT describe the potential gains/losses from the trades, but rather the total percentage gains of the VIX index of the defined time frames. Well, you say, what good is that? Well, it reflects the relative success of the model in predicting the VIX's direction...which is in turn reflected in the timeframe metrics which show positions vested only 72 out of the last 252 trading days...but, what should get your attention is that of those 72 days 62 were correct and only 8 were wrong, with 2 net no change days.
Since this is an index the only way to trade these signals is with VIX futures or options. Exactly what options and option strategy you employ to trade this directional signal is completely up to you and will essentially define your risk tolerance.....
We'll look at some of the nuances in this volatility model in the coming days as well as some of the easiest ways to profit from its signal.

Commentary and Updates

Mosaic Solutions commentary is typically published daily as time permits and market action warrants.
Posts feature Mosaic model updates including delta neutral stops, VIXEN directional trades and PONZO forecasts.

NOTE: Posted risk exposure indicators, signals and metrics apply to Mosaic models only. They are not directly correlated with price movement in the major market indices and can not be used to forecast directional changes in those instruments.
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