As traders will know, the Vix trades in a range: it mean reverts. Therefor you can profit by buying Vix … More
The code below takes the data already cleaned up by the code in the previous post and strings separate months together in a time series suitable for back testing.
The data obtained from the CBOE is messy and incomplete. It takes a great deal of time for even the experienced nerd to sift through it.
This option strangle is effectively short volatility. It buys long dated puts at the money and protects the position with long dated calls far out of the money.
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.