I have spent two years assembling data and completing quantitative analysis and modeling in order to build strategies for trading short-dated (1st and 2nd month) volatility futures. These strategies have substantially out-performed the standard market benchmarks and my goal with this blog is to share my experience.
Yesterday I received a signal to exit a trade in XIV (VelocityShares Daily Inverse VIX Short Term ETN) that I opened on Nov 12, 2012. Entry price was $16.65 and the exit price yesterday was $19.61, for a
17.8% gain. At this time there is no trade in place until we see the next market signal.
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