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for those who trade VIX - be it though futures, options or ETP's (VXX,XIV,ZIV and the like). I came across a paper that I found very interesting - well I only glanced over it for now and read a few things in more detail, but it looks very interesting so far. Trading VIX related strategies is slightly more complicated in my opinion that 'normal' option strategies, so if you are new to options and still get your head around delta,gamma,theta keep this for later and certainly venture into this area slowly and carefully. Having said this I think this is written not overly complicated and you don't need a degree in maths to understand it. It also offers a number (5 to be precise) of actual trading strategies and compares them - so it's not only about theory. At the first glance I particularly like these two (for simplicity and results): #3-Roll Yield: if the 10 day moving average of VXV/VIX > 1 go long XIV else go long VXX #4-VRP: (volatility risk premium) if the 5 day moving average of (VIX - 10 day historical volatility) > 0 go long XIV else go long VXX I have heard of the first one before here (note this guy has the ratio the other way around). The results looks pretty good however I would caution that these reverse ETN's havent been around for too long yet (~2.5-3 yrs - so after the 2008 financial crisis) and trend in VIX was down over that time frame so a simply buy and hold would have been a pretty good investment as well. So the backtesting has to be seen in that context. A quick backtest since 30-Nov-10 (when XIV was listed) and I start with a long position in XIV on both: roll yield: 7(!) trades since inception, total (non compounded return (just adding % returns so +12%, +13%, -5% = +20%) = 296% (the strategy is long XIV since 12-Oct-11 without any trades since) VRP: 23 trades since inception, total return 153% buy and hold XIV since inception (30-Nov-10) 146% NB: I'm counting a flip from one ETN into the other as one trade. Backtesting has been done with EOD prices. I urge you to understand how VXX and XIV work and the risks involved before you actually try and trade this. Also read the paper (they mark the bits about risk with a 'grim reaper' ) okay here the paper and the link to the back testing sheet (let me know if you come across any errors). Marco. 00R_Easy Volatility Investing + Abstract - Tony Cooper.pdf https://dl.dropboxusercontent.com/u/26062189/XIV_VXX_strategies.xlsx