237: New Volatility Based Trading Techniques with Rob Hanna

This podcast episode explores the intricate relationship between the VIX (Volatility Index) and the SPX (S&P 500 Index), highlighting Rob's research on whether to use the VIX to time the SPX or vice versa. Rob challenges conventional wisdom by demonstrating through detailed analysis that the SPX provides more reliable indicators for trading strategies than the VIX, emphasizing the importance of effective risk management and understanding market signals. His findings advocate for a strategic approach to leverage market volatility for profitable trading while addressing the need for robust backtesting and risk controls in trading practices.

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Better System Trader

Introduction and Background on Rob Hanna

The Chicken and Egg: VIX and SPX Timing Strategies

Understanding the VIX: Calculation and Conventional Wisdom

VIX as a Hedging Tool and Trading Strategy

The Gap Between Realized and Implied Volatility

Challenging Conventional Wisdom: VIX and SPX Relationship

Long-Term Market Indicators: VIX vs. SPX

Short-Term Indicators: VIX vs. SPX

The Process of Discovering the Edge

Volatility-Based Instruments: VIX Futures, Options, and ETNs

The Impact of Contango on VIX ETNs

VIX Recovery vs. SPX Recovery

Leveraging VIX Recovery for Smoother Equity Curves

A Model Strategy Using SPX Signals to Trade VIX

Additional Considerations for VIX Trading Strategies

Assessing the Robustness of VIX Strategies

VIX Manipulation and Market Rigging

Applying VIX Research to Other Markets

Position Sizing and Mitigating Too Many Signals

Key Takeaways and Conclusion

237: New Volatility Based Trading Techniques with Rob Hanna

Better System Trader

00:46Introduction and Background on Rob Hanna

Introduction and Background on Rob Hanna

04:48The Chicken and Egg: VIX and SPX Timing Strategies

The Chicken and Egg: VIX and SPX Timing Strategies

07:03Understanding the VIX: Calculation and Conventional Wisdom

Understanding the VIX: Calculation and Conventional Wisdom

11:15VIX as a Hedging Tool and Trading Strategy

VIX as a Hedging Tool and Trading Strategy

15:44The Gap Between Realized and Implied Volatility

The Gap Between Realized and Implied Volatility

18:40Challenging Conventional Wisdom: VIX and SPX Relationship

Challenging Conventional Wisdom: VIX and SPX Relationship

20:24Long-Term Market Indicators: VIX vs. SPX

Long-Term Market Indicators: VIX vs. SPX

23:44Short-Term Indicators: VIX vs. SPX

Short-Term Indicators: VIX vs. SPX

26:55The Process of Discovering the Edge

The Process of Discovering the Edge

31:11Volatility-Based Instruments: VIX Futures, Options, and ETNs

Volatility-Based Instruments: VIX Futures, Options, and ETNs

35:09The Impact of Contango on VIX ETNs

The Impact of Contango on VIX ETNs

38:04VIX Recovery vs. SPX Recovery

VIX Recovery vs. SPX Recovery

40:06Leveraging VIX Recovery for Smoother Equity Curves

Leveraging VIX Recovery for Smoother Equity Curves

41:15A Model Strategy Using SPX Signals to Trade VIX

A Model Strategy Using SPX Signals to Trade VIX

43:27Additional Considerations for VIX Trading Strategies

Additional Considerations for VIX Trading Strategies

45:13Assessing the Robustness of VIX Strategies

Assessing the Robustness of VIX Strategies

48:48VIX Manipulation and Market Rigging

VIX Manipulation and Market Rigging

50:45Applying VIX Research to Other Markets

Applying VIX Research to Other Markets

52:07Position Sizing and Mitigating Too Many Signals

Position Sizing and Mitigating Too Many Signals

53:41Key Takeaways and Conclusion

Key Takeaways and Conclusion