While 2017 had the lowest average VIX since 1990, the standard deviation was equally low at 1.35. 1993 and 1995 had lower standard deviations but higher VIX readings. 2017 turned out to be more of a VIX trap than a bull or bear trap!
We adjusted throughout 2017 to these low VIX readings since many of our best strategies were not trading very frequently. So far in 2018, the average VIX is back up to 17.1 with a standard deviation of 6.3. The average VIX since 1990 is 19.4 with a standard deviation of 7.9. The average VIX for 2018 is still below long term averages!
The transition has been painful as we are at sitting at max drawdowns in the portfolios. In spite of these losses, the opportunities are now better at higher volatility levels. There is new opportunity now that volatility is back and we turn to our long term strategies which are doing well in this market.
Three of our counter trend strategies have us down for the month in the 100K. Without those, we are up on the month. We are sending out portfolio updates tomorrow, March 25th for the start of trade on March 25th. I am looking forward to one update in particular. We are doubling the stop loss and removing the profit target in Cobra III E-mini S&P. In February, this would have captured almost $10k per contract in profits (in hindsight). There is additional risk when transitioning away from portfolios that are down to portfolios that are at equity peaks.
Average and Standard Deviation of VIX since 1990
VIX Averages and Standard Deviations