Option Credit Spreads on the VIX

I had been playing short volatility a while ago and protected my position in XIV with 10 year US Treasuries and long dated VIX call options.

After the liquidation of XIV, following the volatility spike earlier in the year, I decided to take a more detailed quantitative approach to trading volatility and explored a few strategies. One of those was selling ATM VIX calls and using a stop loss by buying the same maturity further out of the money. A credit spread.

Frankly, unless I have made a mess of my coding (all too possible) such a strategy sucks.  You can see below (or on gist)the parameters used and the results. A return of 1.26% over the period for a maximum draw-down of over 17% and a monthly annualized volatility of 6%. The MAR ratio is unacceptable.  Perhaps someone would care to improve on my drafting and my results?


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