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Friday, December 21st 2018

Matt Joins Volatility Views and Backtests the VIX Whale

Matt Joins Volatility Views and Backtests the VIX Whale

Summary

Matt joins Options Insider, Option Pit, and Cboe to discuss the VIX and Bitcoin, including a backtest of a large VIX trade with poor results.

I join Mark Longo of Options Insider, Mark Sebastian of Option Pit and Russell Rhoads of the Cboe to discuss the VIX and Bitcoin.

We look at a huge trade in the VIX and backtest the strategy. The backtest of the generalized parameters of the trade does not perform well.

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