February 14, 2018
This post is a test of Tony Cooper's Momentum Volatility Strategy. The "Momentum Strategy" is straightforward; hold the single ETP (XIV, VXX, ZIV, VXZ) that has the best returns as measured over the last 83 days (83 day return must be positive, else the strategy will be in cash). He chose "83" days because of its performance versus other values. The other values tested for "days" ranged from 20 - 90 . It's key to point out that this strategy is based on a different methodology than most are used to seeing in the volatility space.
February 8, 2018
With Monday's "demolition" of short volatility, and subsequently XIV, many are wondering whether these products will survive the next recession. Outside of the termination of XIV, short volatility products have historically tracked their indicative value very accurately. Many speculate that Credit Suisse caused the short volatility explosion by attempting to liquidate holdings