PROFIT FROM VOLATILITY

Learn How To Trade Volatility ETFs like XIV/VXX
Comprehensive Suite of Volatility Signals
Live Intraday Signal Dashboards
Daily Analysis & Email Updates
State of Volatility Weekly Newsleter
Annual & Monthly Seasonality Reports
Trading Strategies

$99.99/month

Website Reviews

Alex

First, let me thank you profusely for your service. It is unquestionably the most perceptive, and prescient, market analysis that I'm aware of. You do great work, and for that you have my sincere gratitude.

Jalal

It's an "Encyclopedia Britannica" compared to the other "Dr. Seuss" VIX sites. I've been trading VIX and related products for a while and the amount of detail and analytics you have is impressive.

Jim

Thanks for everything you do...I am sincerely appreciative. I just could not do this with any kind of confidence without your help.

David

Yours is the last service that I would cancel. Outstanding timing and advice as usual. Using your volatility readings you do such a great job giving me the likely direction of the market! That's soo important!

Andy

Thanks for the excellent newsletter. I'm enjoying my subscription which provides great value. I pay for only two research services, yours and Hedgeye, which I believe are the two best in the business.

Kiril

I really appreciate your updates and commentary! I wonder how much they’ll earn through fools throwing their money at TVIX over the years (I was definitely one of them before I found your site!) as its popularity explodes.

Kirk

I really enjoy checking this data---it can become a little obsessive. I am sure this will become a larger trading vehicle for me as become more comfortable with the indicators

Mike

I'm getting good value out of your observations on XIV/VIX, augmenting my index stuff.

Dewey

Great summary, thank you so much for the explanations, hard work and communication to your members.

Cheryl

I have learned a lot from your economic analysis....thanks!

Scott

Really like your work on the + service!

Stephane

Thanks for your excellent study and in particular your weekly state of volatility.

Danny

Appreciate the hard work you do. Thank you for the great updates

Benjamin

I love that you don't hedge your views

Steve

I am enjoying the service

Ron

I appreciate your analysis and discussion of the forces that affect markets. Keep providing us with this important information.

SC

Thanks for this comprehensive expert review...

Charles

That was a great write up, so informative.

Raghu

By the way, many thanks for your excellent work. It is great to see all of this information come together in one place.

Gustavo

Thanks for your work. It is extremely useful.

Roger

Congratulations on your excellent calls.

JK

Thank you very much for the mobile site! I have been hoping for this.

Ingo

I appreciate your excellent work and the information you are providing.

Mike

Truly a jaw-dropping post. Amazing analysis

Kelley

I thought your volatility piece you wrote over the weekend was very good...thorough

Otto

The website and depth of content look fantastic

Stephen Aniston

About

Stephen Aniston is an investment adviser and analyst who focuses on the CBOE VIX futures market and related exchange traded products. Prior to becoming an investment adviser, Stephen was a software architect and technology manager at leading investment banks and asset management firms like Goldman Sachs, Royal Bank of Scotland and Franklin Templeton. He has been writing articles on volatility and other macro topics on Seeking Alpha and other investment websites since 2013 where he gained a nice following. This website was started in 2013 as a hobby project and after encountering high demand, it was turned into a paid subscription service in 2015. Since then the website has been visited by over 25,000 visitors and over 250 investors have become paying subscribers. Our subscribers are wealthy private investors and professional investment advisers who combined have invested over $200 million in volatility strategies. Black Peak Capital, an investment adviser company affiliated with this website, is sub-adviser to the Measured Risk Strategy Fund (Tickers: MRPAX and MRPIX), a mutual fund that offers exposure to a managed short volatility strategy. The fund has $9 million in AUM. For more information, visit mrp.fund

Our Services

We provide investment analysis of the CBOE VIX futures market and related exchange traded products. Learn how to trade volatility ETPs for profit. Volatility ETPs are exchange traded products linked to the CBOE S&P 500 Volatility Index (VIX) or otherwise known as the "fear index". Volatility ETPs are composed of VIX Futures which is a growing derivative market with over $5 billion in daily trading volume. We publish daily and weekly newsletters with analysis of the VIX Futures Curve, related volatility indices and the S&P 500 index. You can get access to live and historical volatility data (vix futures, spot indices, etc), real-time dashboards, daily reports and many customized volatility analytics that help you succeed as a trader. We track over 20 signals in the following categories:

Volatility
  • Volatility Term Structure
  • Volatility Risk Premium
  • Volatility Aggregates
  • Volatility Momentum
  • Volatility Speed
  • Volatility Exposure

Our proprietary indicators - the VIX Contango Oscillator (VCO) and the VIX Term Roll Oscillator (VTRO) - aggregate volatility expectations across time and help investors identify opportunities to exploit futures rollover in volatility ETPs for profit. We have proprietary systematic and discretionary investment strategies that provide well-timed entry and exit points into the most popular volatility ETPs like XIV and VXX.

Live Dashboards

Live Quotes for VIX and VIX Futures

No 15 min delay

VIX Futures Curve

Many Volatility Signals

See example »

Live Analysis

Private Twitter Feeds

Analysis of Volatility Indexes, Futures and Signals

Daily Volatility Updates (via Email)

State of Volatility Newsletter (Weekly via Email)

See example »

Daily Reports

Volatility Analytics, Streaks

Market Technicals & Correlations

Daily & Monthly Seasonals

ETF Standings & Ratios

See example »

Volatility Analytics

Over 20 different volatility analytics

Term Structure, Volatility Risk Premium

Momentum, Speed, Exposure, Aggregates

Historical reports. Excel downloads.

See example »

Market Technicals

Key SPX Technical Levels

Detailed Earnings and P/E Multiple Tracking

Rally, Drawdown & Streak Analysis

Weekly Fund Flows

See example »

Seasonal Trends

Monthly Trends & Seasonals

Annual Summaries

80% Range Bands & Daily Averages

Key levels, Historical vs Actual Comparison

See example »

Trading Strategies

Year-To-Date Performance as of December 31, 2016

Strategy Summary

* Combines backtest and production returns
✝ Backtest start date. Production start date is 2015-10-15. EliteVolatility strategy does not have backtests.

Elite Volatility

Discretionary Long/Short Volatility strategy

Take advantage of either VXX or XIV whenever they go on multi-week positive runs. Multi-day and multi-week swing trade strategy.

Learn more »

UltraXIV

Algorithmic Short Volatility strategy

Take advantage of XIV whenever it goes on a multi-week positive run. This swing trade strategy maximizes returns and aims to stay in XIV as long as possible.

Learn more »

SmartXIV

Algorithmic Short Volatility strategy

Take advantage of XIV whenever it goes on a multi-week positive run. This swing trade strategy minimizes drawdowns and cuts exposure as soon as trouble in XIV surfaces.

Learn more »

SmartVXX

Algorithmic Long Volatility strategy

Take advantage of VXX whenever it goes on a multi-week positive run. This strategy is invested only when the VIX Futures Curve is heavily inverted which happens rarely.

Learn more »

General Description
The strategies are built with the goal of preventing the biggest drawdowns in the underlying Volatility ETFs. In most years, our strategies will outperform their underlying simply by avoiding the drawdowns and participating in the rallies. The strategies generate frequent trades near the tops of the underlying in order to prevent a big drawdown. Getting out in time is very important as the drawdowns in Volatility ETFs can be quite quick and quite large. The strategies will not participate in the initial recoveries of the underlying as we were unable to find a set of parameters that would enable us to do that. Generally speaking, our trading strategies try to capture the middle part of the volatility cycle when there is an established trend. The SmartXIV tends to be invested about 50% of the time and usually after volatility conditions truly stabilize. The SmartVXX strategy is invested only about 5% of the time as over the past few years the long bull market has put the long volatility trade in a funk.

Backtests
The systematic trading strategies were developed using an iterative backtesting process that tested over 10 volatility signals against a set of core backtesting algorithms. We utilized Simple Crossover, Dual Threshold First Cross, Dual Threshold Hold, Average True Range and Moving Average backtesting strategies. We ran each volatility signal against all strategies using a variety of thresholds to determine the best performing combination of thresholds and signals. Strategies were evaluated not only for their best return profile, but also for their ability to minimize drawdowns and trading frequency. Once the appropriate signals and thresholds were determined, we utilized a combination of the best signals to further minimize drawdowns and trading frequency without sacrificing performance. The SmartXIV and SmartVXX have a better MAR ratio (Measurements of Returns Adjusted for Risk) than any individual strategy we tested. While there were a couple of better performing strategies, the SmartXIV and SmartVXX were selected for their ability to produce the best risk-adjusted returns. We went into the backtest without prejudice with regards to the signals. The best indicators for trading volatility ETFs turned out to be VIX Contango Oscillator, Contango, VRatio, and Contango Roll. These indicators track the operation of the Volatility ETFs more accurately than other indicators over the long term and as such are the ones that are the most effective.

The volatility indexes and VIX futures data used by the backtests is readily available on widely-used popular websites such as Yahoo and CBOE. We have not used phantom calculated values for XIV and VXX prior to 2009 to backtest all the way to 2004 when VIX futures started trading. In addition, only daily closing data was used for the Volatility ETFs and daily settlement values were used for VIX futures.

The backtests targeted a basic 401(k) trading account without margin. As a result, buys were delayed 3 days after a sell to ensure that the account can actually perform the buy. We assumed a 0.1% slippage during the trade execution (price above 0.1% of the close price was used to buy and price below 0.1% of closing was used to sell). A trading fee of $7.50 per transaction was assumed. The initial amount for the strategy portfolios was $100,000 and when buying, as close to 100% of the portfolio balance as possible was invested. The cash was assumed to generate 0% return.

Disclaimer
Black Peak Ventures does not provide professional financial investment advice specific to your life situation. Black Peak Ventures provides investment analysis of the CBOE VIX futures market and related exchange traded products using algorithmic and discretionary signals derived from proprietary indicators, measurements and analytics. Prior performance of these strategies does not guarantee future returns. We were only able to backtest during the 2009-2015 period as the underlying Volatility ETFs did not exist prior to 2009. In addition, the 2009-2015 period features an unprecended intervention in the capital markets by the Federal Reserve and other central banks via Quantative Easing, Zero Interest Rate Policy and other measures. The backtests reflect the market conditions during that period of time which are unprecedented in history. These conditions resulted in an 6%+ average contango between the front 2 futures thus greatly enhancing the performance of XIV (Short Volatility ETN) and greatly hindering the performance of VXX (Long Volatility ETN). Whether these market conditions will persist in the future is unknown and any change in market conditions in the future may affect the performance of the strategies going forward.