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  1. Pratap Prabhu
    November 25, 2022 @ 10:59 am

    Great. Seems like VIX > 20 and S1 = true is a good winning combo


      November 25, 2022 @ 11:13 pm

      I concur.

      Was surprised at how well short vol performed when VIX < 15, too.


  2. Richard Meadows
    November 25, 2022 @ 4:03 pm

    Hi spintwig, this is great thanks. What’s with the equivocation between s1 and s4 throughout, though?


      November 25, 2022 @ 11:35 pm

      Happy to hear you’re enjoying it!

      Great catch – this was me forgetting to update my graphics template since my last post. The tables have been corrected.


      • Richard Meadows
        November 27, 2022 @ 8:43 pm

        Oh right, that makes sense.

        Do you have options data for SPY as well as SPX? I’m curious to see whether some of these results hold true over longer periods (although I guess in this case it’s limited by VIX).


          November 28, 2022 @ 1:16 pm

          I do, but they’re both limited to a start date of Jan 3 2007.

          My understanding is that empirical historical data from Cboe on SPY/SPX options begins sometime in 2005. We’re not missing too much with a Jan 3 2007 start date.


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