Long Volatility vs. Short Volatility Performance Analyzer

Define Volatility Strategies (Illustrative)

Instrument Proxy: Simplified: P&L directly proportional to VIX changes.

Entry VIX Level (Enter if VIX >):

Holding Period (Months, if entry met):

Instrument Proxy: Simplified: P&L inversely proportional to VIX changes, with a small positive bias for stability (theta proxy).

Entry VIX Level (Enter if VIX <):

Holding Period (Months, if entry met):

Stop Loss (% of VIX increase from entry): e.g., If VIX entry is 12 and stop is 50%, exit if VIX hits 18 (12 * 1.5).

Note: These are highly simplified strategy proxies for illustrative comparison. Actual volatility trading is far more complex.

Initial Capital per Strategy ($ USD):

Start Date (Sample Data Range):

End Date (Sample Data Range):

Transaction Costs (% per trade):

Annual Risk-Free Rate (% for Sharpe):

Sample data includes monthly S&P 500 (SPX) and VIX prices for a limited historical period.

Click "Run Performance Analysis" to view results. Ensure strategies and parameters are set.