JohnHL

@Yowster Thanks for the advice. For my trading method, I only enter such a trade when VIX is not high so the VXX call debit spread should not be too expensive. For current VXX price around $12.60, I plan to buy 2-month out 13.5/15.5 bull call spread that should cost around $0.35 - $0.40 in a 1:1 ratio. The insurance should cost around 25% of the average profit if VXX keeps going down. I don't mind giving up 25% of profit to buy the peace of mind.

I have been using DITM VXX put (delta > 0.75) for shorting volatility. In late January VIX had a single day +60% spike, resulting in a VXX spike of +16%. I am now thinking to spend a small amount on insurance for this type of long tail risk. I am thinking of buying VXX call debit spread about 15% OTM. Do you think this is a feasible method, and what is a good percentage of insurance for the position size?

Hi Kim, regarding the backtesting functionality of OptionNET, it looks to me that one needs to pick specific options (i.e. according to the trading strategy) to enter a trade rather than using some kind of formula to pick specific options automatically. Am I correct? If so, do you know any other package that can allow one to backtest strategies using formulas? Cheers.

I am also interested in getting ONE, probably with a 1-year subscription bundle. Would any member familiar with this software kindly give newbies like me a heads-up on its functionality, particularly on backtesting capabilities and if it has automated order entry capability (e.g. pick options according to particular parameters such as delta), as well how ONE stacks up with well known software like OptionVue.