Wednesday, May 29, 2019

Delta Neutral Update....05.29.2019

Here's a look at the current QLD/QID delta neutral model.  Note that we've set the trigger threshold up to 2%...reflecting the current pop in volatility.  We've missed a few big move days due to the out of the gate surge limit stops...meaning the model simply didn't trigger on those days.
Nevertheless....capital preservation is our number one goal and in that respect the DN model has performed well and shown admirable performance and safety relative to a straight directional model such as our benchmark VIXEN momentum model shown below.