VIX Strategy

Here are the key takeaways from this lesson:

• The VIX strategy is the main return driver, generating higher returns (~11.7% CAGR) with moderate volatility, complementing the stability of the ETF strategy.
• It profits from structural volatility edges, primarily the volatility risk premium (implied > realized volatility) and VIX futures decay (roll yield).
• Dynamic positioning manages risk, the strategy switches between short VXX (most of the time), cash, or long VXX based on market conditions and VIX term structure signals.
• Position sizing and rebalancing are systematic, exposure is based on VIX level (e.g., VIX = 15 → 15% allocation), with adjustments triggered by drift or signal changes.