Strategies

Stock market volatility is here to stay

by Robert Zingale|Published June 12, 2012

Author: Robert Zingale

Covestor model: Volatility Mean Reversion

In May, short-term VIX futures were extremely volatile and I expect this volatility to continue into June. To maintain portfolio stability, I have switched to a short position in the Barclays Bank iPath S&P 500 VIX Mid-Term Futures ETN (VXZ).

I plan to implement my previous asset allocation strategy of shorting the Barclays Bank iPath S&P 500 VIX Short-Term Futures ETN (VXX) and going long VXZ just before June’s VIX future expiration date assuming rolling costs remain attractive.

AUTHOR

Robert Zingale

I have a passion for investing and have been actively managing my personal brokerage accounts since I was an undergraduate at Cornell University. Through my studies at Cornell, I realized that the only way to accurately statistically model an asset is to determine what the average price of that asset should be. I use VIX futures to implement my investment strategy, based on my valuation assumptions.

20 posts