Shorting VXX with Crash Protection
April 23, 2020 - Volatility Effects
Does shorting the iPath S&P 500 VIX Short-Term Futures ETN (VXX) with crash protection (attempting to capture the equity volatility risk premium safely) work? To investigate, we apply crash protection rules to three VXX shorting scenarios: Let It Ride – shorting an initial amount of VXX and letting this position ride indefinitely. Fixed Reset – shorting… Keep Reading