Using a Market Timing Rule to Size an Option Position, A Static Case

In the previous installment, we discussed the use of a popular market timing rule to size a short option position. The strategy did not work well as it was the case in traditional asset allocation. As a follow up, we will apply the 10M SMA rule to a static, unhedged position.
#SPY #option #vix
blog.harbourfronts.com/2017/06/30/using-market-tim…