Skip to content


  1. Ohad Osterreicher
    July 23, 2023 @ 4:47 pm

    Hi, I’m looking at the starting capital req and something doesn’t add up, hope you could clarify. Taking the 90d for example, it says starting capital of 37K. However, if I try to open such a position (short 30 lot of 90d, 30 DTE VIX calls or equivalently 30 short VXM futs), IBKR with portfolio margin asks me to put down around 70K as collateral. What am I missing? To be sure, I don’t have any significant long beta positions on currently. Thanks


      July 23, 2023 @ 5:44 pm

      The backtest and starting-capital requirements are based on a _single_ short VIX call option.

      If opening a 30-lot of short VIX calls (notionally comparable to -3 /VX futures positions or -30 /VXM futures positions), then the suggested starting capital requirement would be 30x what’s displayed.


      • Ohad Osterreicher
        July 24, 2023 @ 2:23 am

        Thanks. But isn’t the suggested starting capital holds for a strategy that eventually has -30 concurrent open contracts? I would think then that it would have to be large enough to support at a minimum a -30 position. Is the issue here that the backtest had time to book some profits until a run 30 consecutive TRUE signals happened? Thanks again.


          July 24, 2023 @ 4:38 pm

          Yes, that is correct on both accounts.

          By the time 32 short VIX call positions were open (eg: s1 was “true” for at least 45 consecutive calendar days – a month of “true” would yield only 20 positions due to weekends), the portfolio generated enough profit and interest income, with the particular sequence of returns associated with a Jan 3 2007 start date, to support laddering into that position size.


Leave a Reply

Your email address will not be published. Required fields are marked *