This strategy was published in the Evolution Capital workpaper. It analyzes both the shape of the VIX futures curve at the moment and the dynamics of the F1 and F2 futures spread (yield from rolling).
Another variant of contango strategies with averaging over parameters. Again, to assess the market state, we use the ratio of the near-term and far-term volatility indices and profit from rolling futures. VIX3M/VIX6M is used as a signal.
his strategy utilizes the dynamics of the VIX futures yield curve to determine the market mode. The strategy was published by Godot Finance. As is typical for such strategies – in periods of a calm market short VXX, and during panic periods, long VXX. Essentially, we profit from the rolling of VIX futures.
This strategy was presented in the Don’t Fear the Bear blog, which currently does not exist. The strategy belongs to the Average Contango group and analyzes the ratio of F1 futures/VIX. The current value of the indicator was compared with the average over 20 trading days.
Strategies based on the contango of the futures curve are complemented by the Averaged Contango strategy class. Instead of using a fixed threshold value (for example, ‘short VXX if contango is greater than 0’), these strategies utilize various types of moving averages. Moving averages are used to determine the equilibrium historical value of the indicator. The current value is then compared with the historical one. Such strategies include the MacroInvestor VIX Futures strategy.