I read a post by M. Avellaneda trading volatility
At page 59-62 there's Strategies with VIX futures to hedge short VXX I'd like to reproduce the result. I am not sure how to do it. Some key points are
- I guess the strategy short vxx and long front month vx future so it only has exposure to second front month future.
- maintain a long vx future position(roll monthly)
- but how many vxx shares to short ?
- In this scenario how to maintain market neutral? should I keep beta of vxx+ beta of vx futures = 0 ?
- what does market neutral, positive beta supposed to mean?
Could someone give me some outlines what to do plz ?