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