/biz/ - Business & Finance

>>55907030
>so, you just wait till expiry and go to the next contract and short it and that contract is most probably priced higher and thats it?
Yeah basically you just let the contract rollover when it expires. Even an individual contract will have a downtrend compared to spot VIX because any contract goes from being close to what I call the "VIX horizon" (VIX price expectation for the distant future) which is a fairly average price to sliding towards spot VIX at expiry which is usually lower than that VIX horizon. Rolling over to the next contract just lets you enjoy the downtrend more, and when you rollover you lock in contango gains, as in the difference between the two contracts is something that adds up as a gain, so you want to lock in the greatest possible difference.

Btw this makes it difficult to slurp VIX spikes because if VIX remains elevated for a while (and therefore be in backwardation) you might lock in losses every time you rollover.

What's your top graph strat?