Better System Trader 237: New Volatility Based Trading Techniques with Rob Hanna
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May 30, 2024 Rob Hanna, expert in volatility-based trading strategies, challenges conventional wisdom on using the VIX for market timing. He discusses using SPX signals, indicators for short-term market moves, practical strategies for trading VIX instruments, and a simple VIX model using SPX movements. Listeners can learn about leveraging quicker VIX recovery to reduce drawdowns and new techniques for volatility-based trading.
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Rob Hanna’s Trading Background
- Rob Hanna began trading in the mid-90s and started a small fund in 2001 before joining a registered advisor in 2019.
- He still runs Quantifiable Edges and shares research while managing money at Capital Advisors 360.
VIX Versus Realized Volatility
- VIX typically sits slightly above realized volatility as traders price in uncertainty beyond recent moves.
- The "rule of 16" links daily S&P moves to VIX levels for rough intuition on implied volatility.
SPX And VIX Move Oppositely
- SPX and VIX are inversely correlated but not perfectly timed, with leads and lags in their moves.
- Visual comparisons show clear opposite directional behavior across many periods.