The BCK Volatility Blog

January 2018

Volatility Investing

INVESTING IN VOLATILITY: NOT FOR EVERYONE

January 31, 2018

A few of us here at BCK recently flew up to Canada for vacation this winter. If any of our subscribers are snowboarding or skiing fanatics, we highly recommend taking a trip to Whistler. The scenery is great and there are an endless number of ski runs. Being the sensible and rather frugal investors we are, we chose to fly into Seattle (significantly cheaper flights than to Vancouver) and then drove through the border crossings up into Canada. As we drove through the rolling hills of south British Columbia and drove onward towards the Rockies, we couldn't help but make a comparison between the landscape and the markets.


Tony Cooper Roll Yield

EVALUATING TONY COOPER'S CONTANGO-BACKWARDATION ROLL YIELD VOLATILITY STRATEGY

January 23, 2018

This post is a test of Tony Cooper's Contango-Backwardation Roll Yield Volatility Strategy (which will be referred to as "Roll Yield Strategy" going forward). Tony Cooper published the well known whitepaper, "Easy Volatility Investing", in which he describes five volatility trading strategies (among many other volatility insights). The Roll Yield Strategy is extremely straightforward and is similar to a recent strategy we shared which used the VIX/VIX3M ratio.


VIX/VIX3M Ratio

USING THE VIX/VIX3M RATIO AS A SIGNAL IN AN XIV TRADING STRATEGY

January 14, 2018

This post is a test of an XIV trading strategy that uses the VIX/VIX3M ratio as a buy and a sell signal. The strategy buys into XIV if the VIX/VIX3M ratio is below the [50 day simple moving average * 1.05]. It sells XIV if the VIX/VIX3M ratio moves above the [50 day simple moving average * 1.1].