Is there a correlation between the price of the VIX and being short premium?
We looked at the daily closing price of the VIX between 2005 and 2013 and bucketed the results annually with VIX above and below 15.
Next we tested selling 1SD strangles in the SPX from 2005 through 2013, entered mechanically on the 1st of each month with 45 DTE, taken to expiration with no management.
We see that with the VIX above and below 15 the probabilities do play out. We then bucketed the outcomes with the VIX above 15 and below.
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