It’s an unlikely marriage of concepts . . the signal position of the VIX relative to all the major indices and the ongoing tribulations of Italy’s 74 year old prime minster who can still raise the ire of the Pope with his “bunga bunga” parties . . but here it is. Ideally, the signals generated by this little engine will deliver returns that would make Gordon Gecko envious and allow you to grow your portfolio sufficiently to bunga bunga on your own. Only time will tell of course, but with the recent update of the PDQ to a real time mode the possibilities are enticing.
We continue to refine and crash test the PDQ focus ETFs and beta release for this completely self-contained software and data feed package is tentatively schedule for April 15th, coinciding with that other day of reckoning. There are a few rather startling correlations between the data fields, although none more so than the uniform # of Trades and Target Days . . both at 14. The other impressive correlation here is the nice green shade of the P&L equity curves, revealing the consistent herd behavior of the markets relative to the VIX. Now the bad news . . . you can’t actually trade the VIX because it’s a statistic, not an equity.
You can trade VIX options however, and this will be the other half of the VIX PDQ model as we seek to create tradable setups of VIX options based on relative risk exposure that will capture returns within our 14 day excursion. No long term positions here . . it’s strictly in and out with little time for premium decay to have much effect. Over the next few days we’ll explore some of the nuances of this model as well as the market backdrop it seeks to profit from.
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