In this post we’ll take a look at the backtest results of opening one VXX short vertical call spread each trading day from June 1 2010 through January 30 2019 and see if there are any discernible trends. We’ll also explore the profitable strategies to see if any outperform buy-and-hold SPY and short VXX.
There are 20 backtests in this study evaluating over 42,100 VXX short vertical call spread trades.
Let’s dive in!
Systematically opening short vertical call spread positions on VXX was profitable for 16 of the 20 strategies.
None of the VXX short vertical put strategies outperformed buy-and-hold SPY with regard to total return.
- Symbol: VXX
- Strategy: Short Vertical Call Spread
- Days Till Expiration: 45 DTE +/- 17, closest to 45
- Start Date: 2010-06-01
- End Date: 2019-01-31
- Positions opened per trade: 1
- Entry Days: daily
- Entry Signal: N/A
- Timing: 3:46pm ET
- Strike Selection
- 5 delta +/- 4.5 delta, closest to 5
- 10 delta +/- 5 delta, closest to 10
- 16 delta +/- 6 delta, closest to 16
- 30 delta +/- 8 delta, closest to 30
- 50 delta +/- 8 delta, closest to 50
- Trade Entry
- 10D short / 5D long
- 16D short / 5D long
- 16D short / 10D long
- 30D short / 5D long
- 30D short / 10D long
- 30D short / 16D long
- 50D short / 5D long
- 50D short / 10D long
- 50D short / 16D long
- 50D short / 30D long
- Trade Exit
- 50% max profit or 21 DTE, whichever occurs first
- Hold till expiration
- Margin requirements are always satisfied
- Margin calls never occur
- Margin requirement for short CALL and PUT positions is 20% of notional
- Margin requirement for short STRADDLE and STRANGLE positions is 20% of the larger strike
- Margin requirement for short VERTICAL SPREAD positions is the difference between the strikes
- Early assignment never occurs
- Prices are in USD
- Prices are nominal (not adjusted for inflation)
- All statistics are pre-tax, where applicable
- Margin collateral is held as cash and earns no interest
- Assignment P/L is calculated by closing the ITM position at 3:46pm ET the day of expiration / position exit
- Commission to open, close early, or expire ITM is 1.00 USD per contract
- Commission to expire worthless is 0.00 USD per contract
- Commission to open or close non-option positions, if applicable, is 0.00 USD
- Slippage is calculated according to the slippage table
- For comprehensive details, visit the methodology page
Early management underperformed holding till expiration with regard to win rate.
Worst Monthly Return
Average P/L Per Day
Average Trade Duration
Managing trades at 50% max profit or 21 DTE yielded average trade durations less than half those of holding till expiration.
Compound Annual Growth Rate
Profit Spent on Commission
48.08% – the average percent of profits spent on commission across all profitable option strategies.
Early management underperformed holding till expiration with regard to total return.
16 of the 20 VXX short vertical call spread option strategies were profitable.
Introduced by Barclays in 2009 and redeemed in 2019, VXX was a 10-year ETN, or Exchange Traded Note, that tracked the VIX Short-Term futures. As VXX was approaching the redemption date Barclays introduced a new 30-year iteration of the same product called VXXB on Jan 17 2018. On May 2 2019, Barclays renamed VXXB to VXX.
Private, Custom Backtests
Visit the trade log store to download the data used in this and other backtests.
Trade S&P 500 options more efficiently using the s1 signal. Learn more.
Trade GLD options more efficiently using the s2 signal. Learn more.
Trade Russell 2000 options more efficiently using the s4 signal. Learn more.
High-yield, low-beta alternatives to cash or treasury holdings. Learn more.