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None.. and this is exactly the issue why I stopped trading them. I think that our calendar strangles offer better risk/reward, and we will resume the VXX diagonals after the split.

I have backtested the VIX Put Calendar back to September 2006, which is the beginning of the data in ONE/IB. When we have traded it in the past we have typically aimed for an entry price of -0.50 (credit) or better (i.e. more credit). There are 1929 trading days. The table below shows how many of those days showed a particular price, or better, for the 2 month 16 PUT VIX CALENDAR. For example, the calendar showed a price of -1.00 or lower (i.e. even more negative) for 5.7% of the 1929 trading days. CALENDAR PRICE / NUMBER OF TRADING DAYS / EXPRESSED AS A PCNT OF TOTAL TRADING DAYS -0.50 / 335 / 17.4% -0.75 / 217 / 11.2% -1.00 / 109 / 5.7% -1.25 / 44 / 2.3% -1.50 / 20 / 1.0% -1.75 / 5 / 0.26% -2.00 / 3 / 0.16% -2.25 / 1 / 0.05% What is very interesting to emerge are the results for the 7 month period where VIX is extremely and persistently low, from start of Aug 2006 to end of Feb 2007, averaging around 11.00. While the strategy performs well in other years, the backtesting shows that it is a real minefield to trade in this environment in 2006/07, and quite hard to avoid sustaining 50% & 75% losses. During that low-volatility period the SPX was making all-time new highs. As I write the VIX Aug16/Oct18 16 PUT calendar is trading for around -1.80 and the SPX is making all time new highs.