By Jared Woodard
It's time to roll our systematic CBOE Volatility Index (VIX)  strategy forward another month. I wrote up a three-point review of the strategy back in October ("Rolling the Volatility of Volatility" ), so check in there if you aren't already familiar with the basic ideas.
First, we want to close out our existing VIX February/March position:
Trades: Sell to close the VIX February 18 puts at $3.85 and sell to close the VIX March 24 calls at $0.30.
We paid $3.75 for this position in early December and the $0.40 gain means we actually earned a 10% return while also owning some free portfolio insurance. One of the attractive features of this strategy is that, historically, most months earn a positive carry even while being positioned to benefit from a market decline. We still have a trade open in the March/April cycle.
Next, we will open a new position for April/May:
Trades: Buy to open VIX April 16 puts for $1.80 and buy to open VIX May 20 calls for $1.65.