My Short-Long VIX Trading Strategy is Delivering

Covestor model: Volatility Mean Reversion

Currently, short-term VIX futures are experiencing rolling costs (first to second month futures) greater than 10%, which is working in favor of my short iPath S&P 500 VIX short-term fund (VXX) position.  

Therefore, I plan to maintain my current asset allocation strategy of short VXX and long iPath S&P 500 VIX Mid-Term Futures (VXZ) while these rolling costs remain above 6.5% as shown in the table below.

If the rolling costs fall below 6.5%, I will reduce exposure accordingly.

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