Summary

The Tahoe Vista VIX is a quantitative long/short strategy trading the CBOE Volatility Index futures. Because the VIX index itself is not tradeable, VIX futures do not track the index exactly. During periods of low market stress, VIX futures trade above index value and get cheaper as they approach expiration. The Tahoe Vista VIX strategy harvests the VIX futures roll down and uses quantitative indicators to take opposite, long VIX positions during times of market stress when the term structure inverts and futures get more expensive as they approach expiration.