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Long Straddle On SVXY

|Includes:ProShares Short VIX Short-Term Futures ETF (SVXY)

Just tested the effect of a long straddle on SVXY.

Time period: Jan to Jan (1 year)

Strike: At the Money

Put share: 50%

Call Share: 50%

IV: 53% (the current one)

Average annual return from 2005-2014 : 120%

Max annual Drawdown: Amazingly, this strategy is not down even a single year.

Year Return
2013 58.1%
2012 290.8%
2011 0.5%
2010 303.3%
2009 289.1%
2008 76.1%
2007 52.0%
2006 121.2%
2005 112.8%

If I increase IV to 60%, average annual return is 95%, and max annual drawdown is -11%.

This is as lazy as a strategy can be. Basically no thinking involved.

Disclosure: The author is long SVXY.

Stocks: SVXY