Stats › Opties, shorts en positionering › Short volatility
No short volatility alpha in this study is significant, and nobody has measured the strategy since 2018
| Strategy and window | Return | Sharpe | Max drawdown | Alpha p |
|---|---|---|---|---|
| 1 month inverse VIX futures, 2006 to 2017 | +25.0% | 0.32 | -92.3% | 0.118 |
| 3 month inverse, held one month, same window | +18.5% | 0.42 | -86.5% | 0.254 |
| VPD put write index, 2006 to 2017 | +9.2% | 0.42 | -61.7% | 0.542 |
| VPD put write index, 2006 to 2018 | +7.4% | 0.33 | -61.7% | 0.692 |
| VPN put write index, 2006 to 2017 | +8.5% | 0.47 | -53.0% | 0.441 |
| VPN put write index, 2006 to 2018 | +6.5% | 0.34 | -53.0% | 0.692 |
| 1 month inverse, calendar 2008 alone | -75.7% | -0.91 | -88.4% | 0.374 |
Annualised returns, Sharpe ratios, maximum drawdowns and alpha p values for short VIX futures and VIX premium strategies, from a study financially supported by Cboe. The standalone short futures figures include no transaction costs. Not one alpha reaches significance at the 5% level.
Across every window one Cboe-funded study tests, from 2006 to 2018, not one short VIX futures or VIX premium alpha is statistically significant at the five percent level. The plain one month inverse position returned 25% a year with a maximum drawdown of 92.3%.
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