Hedging and alerts at volatility moments

We use a 50% ratio for evaluation: 1 SP500 contract per 0.5 VIXY contracts.

We smooth the closing price using SMA7. The Boll Bands standard deviation can be changed to 1.5, 2, 2.5... depending on the risk aversion.

VIXY is an ETF that simulates the evolution of the short-term VIX index of the CBOE by rolling over contracts with the closest expiration. This strategy is based on using an ETF on the short-term VIX volatility index which rises when there is volatility (nervousness, panic). To avoid expensive constant hedging, the strategy only buys the ETF when the SP 500 index exceeds the upper Bollinger band.

2 / Volatility hedging strategy in short to medium spread

The VIXY and VIXM indices are two ETFs that track the performance of the CBOE's short and medium-term VIX indices by rolling over contracts that are close to expiration or medium-term.

This strategy is based on taking a long position in the medium-term VIX (via an ETF) and a short position in the short-term VIX (via an ETF) with a ratio generated from the initial medium/short price. It is based on the idea that during periods of volatility, the behavior is different, and the short-term VIX generates more nervousness. In other words, the strategy is based on the idea that short-term volatility is more unstable than medium-term volatility.