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VIX ETF/ETN
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VIX ETF/ETN

  #11 (permalink)
Trading for Fun
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Cogito ergo sum View Post
Even though the VIX and VXX appear to be similar products, they are in fact quite different. Make sure to thoroughly understand each product before you buy or sell it.

For example:

The VXX is an exchange-traded note ("ETN") based on The S&P 500 VIX Short-Term Futures Index, which is designed to provide access to equity market volatility through CBOE Volatility Index ("VIX") futures. Specifically, the S&P 500 VIX Short-Term Futures Index offers exposure to a daily rolling long position in the first and second month of VIX futures contracts and reflects the implied volatility of the S&P 500 Index one month later. The index futures roll continuously throughout each month from the first month of the VIX futures contract into the second month of the contract.

<-- VXX has drag, price moves are dependent on both the first and second month futures.

I personally don't like to outright short the VIX Index or /VX futures . Mainly because it has an embedded asymmetric risk vs reward relationship with a price floor present

Thankfully we have other derivatives to reduce overall risk with the use of other volatility products. With that said there are interesting opportunities to trade volatility as an asset class. With these products just make sure that you know what you are doing and what you are getting yourself into

VXX specifically seems to be an inverse leveraged S&P500. If you follow the charts live, VXX almost never makes it's own moves, every move is dictated by the S&P. So it's not so much that you are trading the VIX index or overall market volatility, but instead, you are trading an inverse SPY with major leverage. What I mean by that is, the SPY may move .1% while the VXX will move .6%.

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  #12 (permalink)
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Has anyone else noticed the peculiar behavior of the VXX over the past days? It isn't moving the way it has been for the past month or so.

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  #13 (permalink)
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Limitless100 View Post
Has anyone else noticed the peculiar behavior of the VXX over the past days? It isn't moving the way it has been for the past month or so.

I cannot pretend to understand the nature of the VXX but as far as patterns go I don't see much change in that.

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there is a steady downturn in the value interrupted by a rise of a consistent 30% or so then fall to lower levels. What you are seeing now is the decline after yet another 30% recent rise and if the pattern continues there will be further decline now

the pattern continues...

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  #14 (permalink)
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the VXX is one of the most liquid ETF. If you have a hard time borrowing it you can use the XIV (inverse VXX)

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  #15 (permalink)
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Underexposed View Post
I cannot pretend to understand the nature of the VXX but as far as patterns go I don't see much change in that.

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there is a steady downturn in the value interrupted by a rise of a consistent 30% or so then fall to lower levels. What you are seeing now is the decline after yet another 30% recent rise and if the pattern continues there will be further decline now

the pattern continues...

Thank you for the photo.

I am more speaking of the movement of the VXX in reference to the SPY. Normally, it moves in a negative correlation to the SPY, except for the fact that it moves in multiples of an SPY increase/decrease. Over the past few days it hasn't behaved this way. It seems that the negative correlation has been very slightly lost, along with a lower multiplier. By multiplier, I am referencing a 1% move in SPY would be represented as a 4-6% move in VXX.

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  #16 (permalink)
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Limitless100 View Post
Thank you for the photo.

I am more speaking of the movement of the VXX in reference to the SPY. Normally, it moves in a negative correlation to the SPY, except for the fact that it moves in multiples of an SPY increase/decrease. Over the past few days it hasn't behaved this way. It seems that the negative correlation has been very slightly lost, along with a lower multiplier. By multiplier, I am referencing a 1% move in SPY would be represented as a 4-6% move in VXX.

well here is a different chart

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this appears to be mirror images to me within reason....the VXX appears to vary 5x more than SPY in an inverse way.

The VXX is more choppy than SPY and the last 4 days both the SPY and VXX seem to move in the same direction but it would take more data to the trend to establish any significance to it.

But as short a time as this is, I decided for fun to look at data back 2 years in 3 month chunks like this and while I do see one maybe two days at most when the two curves move in the same direction....

then I decided to look specifically at situations when the VXX ended one of those spikes

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see how, just for a few days the two move in the same direction. So it almost seems to be a consequence of falling from that spike....now, if you go back to those times as see if there was something funny in behavior of the market during these times in the past you may have discovered something

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  #17 (permalink)
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Underexposed View Post
well here is a different chart

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this appears to be mirror images to me within reason....the VXX appears to vary 5x more than SPY in an inverse way.

The VXX is more choppy than SPY and the last 4 days both the SPY and VXX seem to move in the same direction but it would take more data to the trend to establish any significance to it.

But as short a time as this is, I decided for fun to look at data back 2 years in 3 month chunks like this and while I do see one maybe two days at most when the two curves move in the same direction....

then I decided to look specifically at situations when the VXX ended one of those spikes

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


see how, just for a few days the two move in the same direction. So it almost seems to be a consequence of falling from that spike....now, if you go back to those times as see if there was something funny in behavior of the market during these times in the past you may have discovered something

Thanks for the analysis. Yes the past few days seem to be creeping into positive correlation! That is very interesting how after the large drop they seemed to move with each other. Now we need to see if we can create a relatively strong hypothesis out of something like that. Although, it may simply be nothing of much importance considering there is barely any data for it.

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  #18 (permalink)
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XIV/VXX/VIX moves as a multiple of SPY. But that multiple is not steady because of convexity effects.

XIV's return profile is similar to selling Iron Condors with less commissions. I think explorations of a timing model should use the "vol of vol" ie IV on the VXX.

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  #19 (permalink)
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Limitless100 View Post
Thanks for the analysis. Yes the past few days seem to be creeping into positive correlation! That is very interesting how after the large drop they seemed to move with each other. Now we need to see if we can create a relatively strong hypothesis out of something like that. Although, it may simply be nothing of much importance considering there is barely any data for it.

hahaha...I am good at spotting patterns but I don't know much about the VXX itself....you are on your own there...the effect does not seem to last long though.

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  #20 (permalink)
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UVXY


there is also UVXY (2X VIX movement)....anyone trades this instrument?

appreciate some insights/ trading strategies

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