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 ?


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