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  1. Uri
    December 11, 2019 @ 5:59 am

    Hi, In the Total P/L% when it say, for example in the 50D/5D

    that mean a total +return of 176.58% from June 1, 2010 to Jan 30,2019 for 1 call spread (or $4500 of risk)?
    (annually 12% approx)


      December 11, 2019 @ 9:15 pm

      Correct. Keep in mind this strategy assumes a new position is opened each trading day. Not to be confused with a single position that is continuously rolled (or closed and reopened at expiration).


  2. Uri
    December 12, 2019 @ 3:48 am

    a new position is opened each trading day? so in 45 days you have 45 VXX call spreads open?


      December 12, 2019 @ 9:46 am

      If holding each trade till expiration, yes. Closer to 30 when factoring in weekends (non-trading days).

      The results depicted are normalized to account for “average daily returns.” In other words, pretend an ETF sponsor was opening a position each trading day behind the scenes and you invested $100 in that ETF. The 176% return would be on the $100 you invested.

      Because options are discrete (one can’t invest in half a vertical at a given delta), smaller portfolios may experience a greater deviation from what’s depicted vs larger portfolios.


  3. Uri
    December 12, 2019 @ 10:10 am

    Thank you very much!

    It will be possible to make a back-testing of a long VXX put?
    (with 60 to 90 DTE)?


      December 17, 2019 @ 9:13 pm

      You’re welcome! Yes, it’s possible 🙂 I can add that to the roadmap but it’ll be a little bit till that particular study is performed and published.


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