VIX Put Carry Strategy
15 August 2025S&P 500 Systematic Downside Protection
15 August 2025One Pager
VIX Futures Carry Strategy
VIX Futures Carry Strategy
Kambiz Kazemi, Chief Investment Officer
Summary
The VIX Futures Carry Strategy is a rules-based, liquid approach that seeks to profit from the risk premium embedded in the VIX futures curve. It systematically takes short-term positions in VIX futures and options using proprietary signals tied to the shape of the term structure.
Inside the one-pager
- Strategy overview and key mechanics
- Annual performance vs. VIX Spot
- Simulated results from 2008 to 2025
Source
Bloomberg, Validus Risk Management