Max-Heat Inverse VIX Carry
Christopher Wallace@chris
−2.7%
since Sep 30
The idea
I believe implied volatility usually runs richer than what actually materializes, and the VIX futures curve usually slopes upward, so staying short volatility collects that roll yield most days. This basket runs that trade at full intensity, split across the leading short-term and mid-curve inverse funds with a hedged carry fund as the only cushion, plus cash held in reserve. The payoff shape is steady small gains punctuated by rare sharp drawdowns during volatility spikes, and I'd rethink this if the structural contango driving the carry stopped showing up.
What it owns
- These funds collect roll yield from short-term VIX futures when the volatility curve slopes upward, betting that daily decay outpaces any spike in implied volatility. · Volatility Shares -1x Short VIX Futures ETFIt shorts short-term VIX futures to harvest contango roll yield, accepting full losses when volatility spikes suddenly., ProShares Short VIX Short-Term Futures ETFIt shorts VIX futures at a lighter leverage ratio to collect the same roll yield while absorbing smaller single-day losses during volatility events.50%
- This position sells volatility premium for income while holding tail hedges, designed to cushion losses when volatility spikes. · Simplify Volatility Premium ETFIt sells volatility premium for income while maintaining tail hedges designed to limit drawdowns when volatility spikes, providing shock absorption for the take.25%
- Cash25%