I remember Frank writing somewhere that during times of low volatility, one might consider reducing allocation in MYRS, whereas after a VIX spike to 22 or more, one might consider moving more funds from defensive strategies into MYRS/ZIV to capture the mean reversion.
My question is this. What should be given more emphasis in such a decision – the VIX term structure and percentage contango, or the actual spot price of the VIX?
For example at this moment the spot VIX is very low at ~12, however the term structure still shows significant contango. How do you recommend to use these observations to judge expected returns in the short term for MYRS/ZIV strategy?