Shorting The VIX Changed My Life.

Also, regime classifications, trade heuristics, and marginal utilities.

A few years ago, we created The Quant’s Playbook with the goal of learning and sharing more about the beautiful field of quantitative trading. By learning the nuts and bolts of how strategies and markets worked, we hoped to one day create and deploy profitable strategies of our own.

Well, after countless research experiments and many failures along the way, that time has come.

To quickly bring you up to speed, we set out to start an option selling operation that would use insights from our earlier experiments to avoid the most common pitfalls associated with short volatility (e.g., “pennies in front of a steamroller”, optimal strike selection, etc.):

Selling Volatility The RIGHT Way. [Code Included]

Since then, we’ve been hauling cash out of markets day after day:

So, today, we’ll be doing a deep-dive update regarding why our approach works, the tiny market nuances we’ve picked up on, some interesting observations and finally, where we can go from here.

Without further ado, let’s get right into it.

Just How Much Are We Making?