PROFIT FROM VOLATILITY

Investment Analysis of VIX and VIX futures
Politico-Economic Market Analysis
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Comprehensive Reports, Analytics & Data
Backtested ETF Trading Algos
Powerful Factor Discovery Engine
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Stephen Aniston is an investment adviser and a recognized analyst/expert focused on the VIX futures market, a growing derivative marketplace. We offer a range of systematic and discretionary trading strategies using VIX futures based exchange traded funds like SVXY and VXX to help clients protect and grow their wealth. Prior to becoming an investment adviser, Stephen was technology architect of risk management systems at top investment banks like Goldman Sachs and Royal Bank of Scotland. He has an engineering degree from Stanford University and was a national math olympian in high school.

VIXCONTANGO.com was started in 2013 as a hobby project to track important VIX statistics and after encountering high demand in 2015, Stephen quit his tech job in finance to become a full-time financial analystics provider and investment adviser. This website has generated over 1 million page views and more than 400 sophisticated investors have subscribed to read our newsletter and use our analytics. Our subscribers are wealthy private investors and investment professionals who combined have dedicated over $200 million to VIX futures based strategies. In 2017, Stephen was a sub-adviser for the Measured Risk Strategy Fund (MRPAX), an upstart short volatility mutual fund, which scored an industry leading 20% return that year. Since 2018, Stephen is running separately managed accounts for qualified clients at his investment advisory firm Black Peak Capital. For more details, go to blackpeakcap.com
Stephen Aniston

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Our Services

We provide investment analysis for the VIX and VIX futures market and related exchange traded products (ETPs) like VXX and SVXY. VIX ETPs are composed of VIX futures which in turn are based on the CBOE S&P 500 Volatility Index (VIX) or otherwise widely known as the "fear index". The VIX futures market is a growing derivative market with over $4 billion in average daily trading volume in 2016. On this website, you can will be provided with the tools and knowledge to trade popular VIX ETPs like SVXY and VXX for profit. Long volatility strategies are used for protection against market turmoil while short volatility strategies are used as "yield enhancers".

VIX Futures Market Size

A short volatility strategy is similar to being leveraged long the stock market while a long volatility strategy is similar to being leveraged short the stock market. The VIX has a built in leverage: historically, the VIX moves +4% for every -1% move in the SPX. Thus a short volatility strategy enables to you to achieve higher than market returns. In addition to the leverage, one of the most attractive features of a short volatility strategy is its ability to generate returns when the market is rangebound, thus making it an excellent "catchup" trade. However, periods of market beating performance come with a substantial cost. When adverse market conditions strike, losses in short volatility strategy can be catastrophic while gains in a long volatility strategy add up to big numbers. Moves of +/-40% in a month can happen once or even a few times a year. Buy and hold is not an option for any volatility strategy or any VIX ETF. Any exposure to this asset class must be actively managed and this is where we can help you.

Our subscribers get daily and weekly email newsletters with analysis of the S&P 500 index (SPX), VIX, VIX futures & important sector ETFs. You will be well informed about what moves the market. You will have access to live and historical VIX and VIX futures data, real-time dashboards, daily reports and many proprietary VIX analytics that help you succeed as a trader. We also help you with trading algos and factor labs (continuous factor backtests) and discretionary investment strategies. Our systematic algos provide well-timed entry and exit points into the most popular volatility ETPs like SVXY and VXX. We track over 20 volatility signals in the following categories:

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

Politics + Policy = Volatility

While our service provides many technical analytics that help you trade VIX and SPX ETFs, our investment analysis focuses not only on technicals, but also on fundamentals like earnings and multiples. Earnings are only 10-20% of stock prices, the other 80-90% are multiples which are an estimate of how long a company (or a group of companies) can sustain their earnings growth. That estimate is heavily dependent on government policy. Government policy is determined by domestic politics. Think about it this way: if the US government changes tomorrow to a communist government that taxes 80% of corporate profits, are your shares in S&P 500 worth as much as they are today when tax rates are at 20%? NO! Government policy targeting private enterprise such as monetary policy and fiscal policy determine the market multiple, the primary direction of markets and the nature of stock market volatility.

Here is a quick summary of our methodology:
  1. Determine US Political Outlook
  2. Determine US Fiscal Policy expectations based on Political Outlook
  3. Determine Monetary Policy expectations in US, Europe, Japan, China (in that order)
  4. Determine impact of Monetary Policy and Fiscal Policy on Economic Activity (GDP Growth) and Inflation expectations
  5. Translate Economic Activity and Inflation expectations into Corporate Earnings expectations
  6. Determine SPX Price Target by assigning historically appropriate Market Multiple to Corporate Earnings expectations
  7. Determine SPX Volatility Outlook based on our EVIL model
    1. Earnings Growth
    2. Valuations
    3. Implied Correlations
    4. Liquidity Conditions
Political Analysis
Our investment analysis process focuses heavily on political candidates for President and Congress, their policy proposals and their chances to succeed in domestic politics. We discount and score the economic impact of policy proposals and analyze how they might affect certain sectors and broad markets. We perform political analysis by handicapping the chances of winning of various candidates by correcting polls and betting odds from inherent statistical biases that they might have. Our statistical analysis often diverges from information that is dissemminated in the mainstream media. Our statistical poll corrections helped us predict the Trump win in 2016 and the Democratic House win in 2018.

WARNING: Many people get upset when our handicapping diverges from their own political views. We managed to upset a lot of Democrats in 2016 with our Trump call and many Republicans in 2018 with our House Democrat call. Our intent is not to upset people but to analyze political reality and determine how that affects markets. We are by no means perfect, but uncomfortable political analysis is a big part of our investment process. If you will get upset about political analysis in an investment newsletter, our services are probably not for you.

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

Dashboards & Quotes

Real-Time VIX and VIX Futures Quotes

Real-Time VIX Futures Curve & Charts

20+ Trading Indicators & Analytics

Mobile access to quotes and analytics

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Email Newsletters

Investment Analysis of VIX and VIX Futures

Politico-economic Market Analysis

Daily Market Updates & Weekend Newsletters

Private Twitter Feed: @vixcontangoplus

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Daily Reports

Volatility Analytics, Streaks, ETF Exposure

Market Technicals, Correlations & Sharpe Ratios

Daily, Monthly, Annual Seasonals

ETF Standings, Rankings & Ratios

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Data & Analytics

VIX and VIX Futures data & analytics

Term Structure, Volatility Risk Premium

Momentum, Speed, Exposure, Aggregates

Excel downloads & Web API

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Mobile Site

VIXCONTANGO Mobile Site

Factor Discovery Engine

Our Factor Labs are continous backtests run on hundreds of factors that may drive the performance of an ETF. A "factor" is a combination of an indicator (like Contango) and threshold (like 0%). Our factors utilize trading strategies such as single threshold crossover and dual threshold crossovers. We run hundreds of permutations of different factors. Basically we analyze the market via brute force - kind of like sending a thousand rockets and then betting that one or two rockets will overwhelm the defense and hit the target. From these thousands of continous backtests traders can monitor which factors are driving performance and then focus their trading on using the factors that matter at present. Instead of running 2 or 3 algos which may stop working when the market adjusts to them, we run thousands of algos and discover which algos are working now. We have "Winning Factor" reports which filter down quickly to the factors that are working and whether they are on or off. From our set of winning factors, we calculate a "Confidence Level" which gives you a math-based estimate of whether the underlying ETF is a BUY. We have Factor Labs for VXX (Long VIX), SVXY (Short VIX), GLD (Gold), SLV (Silver), TLT (Treasuries), LQD (Investment Grade) and HYG (Junk Bonds)
SVXY Confidence Level

Trading Algos & Discretionary Investment Strategies

Year-To-Date Performance as of September 30, 2019
Performance data quoted represents HYPOTHETICAL past performance of a model portfolio. PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.

Strategy Summary

* Combines backtests and live returns.
SmartSVXY and UltraSVXY were backtested with XIV from 2010-11-30 to 2015-10-15.
SmartVXX was backtested with VXX from 2009-01-30 to 2015-10-15.

Benchmark Summary

* Since inception of ETF/ETN.

UltraSVXY

Algorithmic Short VIX strategy

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

Learn more »

SmartSVXY

Algorithmic Short VIX strategy

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

Learn more »

SmartVXX

Algorithmic Long VIX strategy

Take advantage of VIXY 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 »

Ultimate Savings

Discretionary savings strategy

Risk-averse low-volatility ETF savings strategy that applies volatility inspired market timing principles to the Permanent Portfolio. Main investments are SPY (stocks), SVXY (short vol), GLD (gold), TLT (bonds), HYG (junk bonds) and NEAR (high yielding cash) depending on market and economic conditions.

Learn more »

Secular Stars

Discretionary growth strategy

High risk growth strategy. Take advantage of our technology expertise in selecting an eclectic group of recent IPOs operating in secular high-growth areas that are poised to dominate the future of technology and finance. Cloud, distributed software, social networks and online video education.

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 factor 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 SmartSVXY 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 SmartShortVIX and SmartLongVIX were selected for their ability to produce the best risk-adjusted returns. We went into the backtest without prejudice with regards to the factors.

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.