The Algorithmic Advantage 045 - Rob Hanna - Trading the VIX in a Diversified Portfolio
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Dec 3, 2025 Rob Hanna, a seasoned quantitative trader and founder of Quantifiable Edges, dives into his evolution from discretionary trading to systematic strategies. He discusses the vital role of VIX trading in hedging against market crises, emphasizing the importance of the futures curve in his models. Rob shares insights on mean-reversion strategies, managing tail risks, and the intricacies of backtesting VIX options. From employing diverse models to navigating sector exposure, his extensive experience offers valuable lessons for traders looking to optimize their portfolios.
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Split And Cap Mean-Reversion Exposure
- Run multiple mean-reversion models with different triggers, timing and scaling to smooth returns.
- Ensure models do not overlap and cap sector exposure to limit concentrated drawdowns.
Options-Based Volatility Hedge
- The volatility ladders strategy trades VIX options and seeks mispricings in the futures curve.
- It often results in net long VIX exposure as a hedge during market sell-offs.
Simulate Realistic VIX Spreads
- Backtest VIX option and futures-curve ideas using historical options data and realistic slippage assumptions.
- Build synthetic spread securities to test calendar and diagonal spread performance over time.