Feb 2012 VXX Forecast
|
|
|
|
|
|
%VXX |
actual |
|
|
|
|
|
# days |
|
(-) |
(+) |
|
|
Correct |
|
|
10 |
|
-24.07 |
14.19 |
|
|
Wrong |
|
|
5 |
|
-9.10 |
7.86 |
|
|
No forecast |
|
|
5 |
|
|
|
|
|
Score |
|
|
67 | /100 |
|
|
|
Buying VXX on the close on days we forecast that VXX would close UP the next day — and shorting VXX or buying XIV on the close on days we forecast that VXX would close DOWN the next day — would have produced a cumulative daily gain for Feb 2012 of 21.33% (24.07+14.19-9.10-7.86=21.30).
The data below shows one implementation of our new, breakthrough technology. Each day in 2011 %VXX has a 2, 3 and 4 digit Quad Path history value (qPath). Each subsequent qPath digit represents the preceding day's Quad VXX closed in 1, 2, 3 or 4.
Comparing this year's Quad Path history with last year's, days in 2011 with the same qPath as our most recent day in 2012 are summarized and shown in blue below.
We know we should be in murky waters projecting based on last year's qPath data — But our projections using this data have been surprisingly accurate so far this year.
Maybe these projections are accurate due to the confluence of extreme, volatility randomness and the many factors causing it — flip enough coins at the same time and you're bound to get some heads. If so, then we should expect poor correlation later this year if volatility continues to remain low and randomness decreases.
Quad Path history for recent 2012 %VXX data is shown below. Each subsequent qPath digit represents the preceding day's-close Quad 1, 2, 3 or 4.
|
Fore- |
Score |
|
qPath |
%VXX |
|
Days |
|
Avg |
|
StDevP |
|
| %VXX |
cast |
|
|
Feb 29 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
|
N/F |
|
4.3 |
4.3 |
-34.94 |
0.97 |
12 |
2 |
-2.91 |
0.49 |
1.93 |
0.48 |
|
|
|
432 |
432 |
0.00 |
0.00 |
0 |
0 |
- |
- |
- |
- |
|
|
|
4322 |
4322 |
0.00 |
0.00 |
0 |
0 |
- |
- |
- |
- |
|
|
|
|
Feb 28 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| -1.56 |
up |
0 |
3.2 |
3.2 |
-19.47 |
21.24 |
7 |
6 |
-2.78 |
3.54 |
1.67 |
2.38 |
|
|
|
322 |
322 |
0.00 |
4.19 |
0 |
1 |
- |
4.19 |
- |
0.00 |
|
|
|
3223 |
3223 |
0.00 |
4.19 |
0 |
1 |
- |
4.19 |
- |
0.00 |
|
|
|
|
Feb 27 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
|
N/F |
|
2.2 |
2.2 |
-0.86 |
27.71 |
1 |
5 |
-0.86 |
5.54 |
0.00 |
4.30 |
|
|
|
223 |
223 |
-0.86 |
1.36 |
1 |
1 |
-0.86 |
1.36 |
0.00 |
0.00 |
|
|
|
2234 |
2234 |
0.00 |
0.00 |
0 |
0 |
- |
- |
- |
- |
|
|
|
|
Feb 24 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
|
N/F |
|
2.3 |
2.3 |
-7.32 |
10.45 |
2 |
4 |
-3.66 |
2.61 |
2.05 |
1.62 |
|
|
|
234 |
234 |
0.00 |
0.00 |
0 |
0 |
- |
- |
- |
- |
|
|
|
2343 |
2343 |
0.00 |
0.00 |
0 |
0 |
- |
- |
- |
- |
|
|
|
|
Feb 23 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| 3.94 |
down |
0 |
3.4 |
3.4 |
-33.91 |
11.37 |
13 |
3 |
-2.61 |
3.79 |
1.67 |
4.66 |
|
|
|
343 |
343 |
-20.48 |
11.37 |
8 |
3 |
-2.56 |
3.79 |
1.79 |
4.66 |
|
|
|
3433 |
3433 |
-15.76 |
11.09 |
9 |
2 |
-1.75 |
5.55 |
2.58 |
4.84 |
|
|
|
|
Feb 22 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| -6.51 |
down |
100 |
4.3 |
4.3 |
-34.94 |
0.97 |
12 |
2 |
-2.91 |
0.49 |
1.93 |
0.48 |
|
|
|
433 |
433 |
-26.16 |
0.97 |
9 |
2 |
-2.91 |
0.49 |
2.00 |
0.48 |
|
|
|
4333 |
4333 |
-9.09 |
0.97 |
6 |
2 |
-1.51 |
0.49 |
2.87 |
0.48 |
|
|
|
|
Feb 21 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| -2.82 |
down |
100 |
3.3 |
3.3 |
-99.96 |
100.90 |
38 |
28 |
-2.63 |
3.60 |
2.00 |
4.02 |
|
|
|
333 |
333 |
-29.79 |
37.57 |
14 |
13 |
-2.13 |
2.89 |
1.12 |
3.27 |
|
|
|
3331 |
3331 |
-10.88 |
16.15 |
9 |
4 |
-1.21 |
4.04 |
2.03 |
3.80 |
|
|
|
|
Feb 17 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| -0.19 | down |
100 |
3.3 |
3.3 |
-99.96 |
100.90 |
38 |
28 |
-2.63 |
3.60 |
2.00 |
4.02 |
|
|
|
331 |
331 |
-46.05 |
27.54 |
14 |
5 |
-3.29 |
5.51 |
2.66 |
6.71 |
|
|
|
3311 |
3311 |
-26.71 |
2.22 |
5 |
1 |
-5.34 |
2.22 |
2.62 |
0.00 |
|
|
|
|
Feb 16 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| -1.22 |
down |
100 |
3.1 |
3.1 |
-78.93 |
44.95 |
23 |
13 |
-3.43 |
3.46 |
2.68 |
3.35 |
|
|
|
311 |
311 |
-22.38 |
16.49 |
6 |
4 |
-3.73 |
4.12 |
1.03 |
4.85 |
|
|
|
3113 |
3113 |
-9.82 |
2.35 |
2 |
2 |
-4.91 |
1.18 |
0.01 |
0.21 |
|
|
|
|
Feb 15 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| -3.85 | down |
100 |
1.1 |
1.1 |
-60.94 |
49.93 |
21 |
13 |
-2.90 |
3.84 |
2.45 |
3.81 |
|
|
|
113 |
113 |
-28.32 |
21.80 |
10 |
5 |
-2.83 |
4.36 |
2.33 |
2.59 |
|
|
|
1131 |
1131 |
-14.89 |
9.24 |
4 |
2 |
-3.72 |
4.62 |
1.95 |
3.70 |
|
|
|
|
Feb 14 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| 5.66 |
up |
100 |
1.3 |
1.3 |
-51.32 |
83.13 |
19 |
23 |
-2.70 |
3.61 |
2.05 |
3.42 |
|
|
|
131 |
131 |
-8.69 |
34.97 |
2 |
8 |
-4.34 |
4.37 |
0.39 |
2.61 |
|
|
|
1312 |
1312 |
-4.74 |
0.00 |
1 |
0 |
-4.74 |
- |
0.00 |
- |
|
|
|
|
Feb 13 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| 2.95 |
down |
0 |
3.1 |
3.1 |
-70.39 |
44.48 |
18 |
12 |
-3.91 |
3.71 |
2.77 |
3.37 |
|
|
|
312 |
312 |
0.00 |
2.07 |
0 |
1 |
- |
2.07 |
- |
0.00 |
|
|
|
3122 |
3122 |
0.00 |
0.00 |
0 |
0 |
- |
- |
- |
- |
|
|
|
|
Feb 10 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| -7.54 |
up |
0 |
1.2 |
1.2 |
-0.94 |
21.63 |
1 |
5 |
-0.94 |
4.33 |
0.00 |
1.16 |
|
|
|
122 |
122 |
0.00 |
9.52 |
0 |
2 |
- |
4.76 |
- |
0.28 |
|
|
|
1222 |
1222 |
0.00 |
4.49 |
0 |
1 |
- |
4.49 |
- |
0.00 |
|
|
|
|
Feb 9 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| 8.53 |
up |
100 |
2.2 |
2.2 |
-0.86 |
19.18 |
1 |
4 |
-0.86 |
4.80 |
0.00 |
4.51 |
|
|
|
222 |
222 |
0.00 |
12.13 |
0 |
1 |
- |
12.13 |
- |
0.00 |
|
|
|
2224 |
2224 |
0.00 |
0.00 |
0 |
0 |
- |
- |
- |
- |
|
|
|
|
Feb 8 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
|
N/F |
|
2.2 |
2.2 |
-0.86 |
14.32 |
1 |
3 |
-0.86 |
4.77 |
0.00 |
5.20 |
|
|
|
224 |
224 |
0.00 |
0.00 |
0 |
0 |
- |
- |
- |
- |
|
|
|
2243 |
2243 |
0.00 |
0.00 |
0 |
0 |
- |
- |
- |
- |
|
|
|
|
Feb 7 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
|
N/F |
|
2.4 |
2.4 |
-2.02 |
0.00 |
1 |
0 |
-2.02 |
- |
0.00 |
- |
|
|
|
243 |
243 |
0.00 |
0.00 |
0 |
0 |
- |
- |
- |
- |
|
|
|
2433 |
2433 |
0.00 |
0.00 |
0 |
0 |
- |
- |
- |
- |
|
|
|
|
Feb 6 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| 0.97 |
down |
0 |
4.3 |
4.3 |
-34.74 |
0.00 |
12 |
1 |
-2.89 |
0.00 |
1.94 |
0.00 |
|
|
|
433 |
433 |
-26.07 |
0.00 |
9 |
1 |
-2.90 |
0.00 |
2.01 |
0.00 |
|
|
|
4333 |
4333 |
-12.99 |
0.00 |
4 |
1 |
-3.25 |
0.00 |
1.64 |
0.00 |
|
|
|
|
Feb 3 |
- |
|
|
|
|
|
|
| | -1.12 | down |
100 |
3.3 |
3.3 |
-104.68 |
100.90 |
38 |
29 |
-2.75 |
3.48 |
2.05 |
4.00 |
|
|
|
333 |
333 |
-28.67 |
37.57 |
13 |
13 |
-2.21 |
2.89 |
1.12 |
3.27 |
|
|
|
3331 |
3331 |
-13.96 |
16.15 |
7 |
4 |
-1.99 |
4.04 |
1.26 |
3.80 |
|
|
|
|
Feb 2 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| -5.29 | down |
100 |
3.3 |
3.3 |
-93.63 |
100.90 |
36 |
28 |
-2.60 |
3.60 |
1.99 |
4.02 |
|
|
|
331 |
331 |
-46.14 |
27.54 |
14 |
5 |
-3.30 |
5.51 |
2.66 |
6.71 |
|
|
|
3311 |
3311 |
-31.05 |
2.22 |
6 |
1 |
-5.18 |
2.22 |
2.42 |
0.00 |
|
|
|
|
Feb 1 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| -3.06 |
down |
100 |
1.1 |
1.1 |
-53.74 |
49.93 |
19 |
13 |
-2.83 |
3.84 |
2.35 |
3.81 |
|
|
|
114 |
114 |
-6.02 |
1.00 |
2 |
1 |
-3.01 |
1.00 |
0.00 |
0.00 |
|
|
|
1144 |
1144 |
-3.39 |
- |
1 |
- |
-3.39 |
- |
0.00 |
- |
Gainers next day Mostly gainers next day Mostly losers next day Losers next day
Notes:
1) Grey 2-digit qPaths are all VXX qPaths except green and red qPaths.
CORRECTIONS: The initial posting for 6 %VXX's were mistakenly posted as zeros. Correct values for %VXX next-day closes are
2/17 -0.19
2/16 -1.22
2/15 -3.85
2/6 -1.12
2/2 -5.29
2/1 -3.06
Thanks to Franklin143882,Mar 20, 2012 12:12 PM, pointing out these errors.
"Knowledge rests not upon truth alone, but upon error also." (Carl Jung)
Wed, February 29, 2012 1:42 PM EST
Volatility Research is unable
to forecast VXX close for
tomorrow, Thu, Mar 1, 2012
because of insufficient
historical data
|
qPath actual data from 2011
| qPath | %VXX |
| Days |
| Avg |
| StDevP |
| | Feb 29 | (-) | (+) | (-) | (+) | (-) | (+) | (-) | (+) | | 4.3 | -34.94 | 0.97 | 12 | 2 | -2.91 | 0.49 | 1.93 | 0.48 | | 432 | 0.00 | 0.00 | 0 | 0 | - | - | - | - | | 4322 | 0.00 | 0.00 | 0 | 0 | - | - | - | - |
Tue, February 28, 2012 1:38 PM EST
Volatility Research forecasts that
tomorrow, Wed, Feb 29, 2012
For us, this was a difficult forecast to make because today's market data suggests VXX will close down tomorrow, but limited qPath data from last year — says up. |
Actual qPath today:
| qPath | %VXX |
| Days |
| Avg |
| StDevP |
| | Feb 28 | (-) | (+) | (-) | (+) | (-) | (+) | (-) | (+) | | 3.2 | -19.47 | 21.24 | 7 | 6 | -2.78 | 3.54 | 1.67 | 2.38 | | 322 | 0.00 | 4.19 | 0 | 1 | - | 4.19 | - | 0.00 | | 3223 | 0.00 | 4.19 | 0 | 1 | - | 4.19 | - | 0.00 |
Mon, Feb 27, 2012 3:03 PM EST
Volatility Research is unable
to forecast VXX close for
tomorrow, Tue, Feb 28 2012
because of insufficient
historical data
With the second Greek bailout now all but agreed, investors are trying to look beyond the long-running debt crisis but are keenly aware that the proposed second Greek bailout could still easily unravel. |
Actual qPath today:
| qPath | %VXX |
| Days |
| Avg |
| StDevP |
| | Feb 27 | (-) | (+) | (-) | (+) | (-) | (+) | (-) | (+) | | 3.2 | -19.47 | 21.24 | 7 | 6 | -2.78 | 3.54 | 1.67 | 2.38 | | 323 | 0.00 | 4.85 | 0 | 2 | - | 2.43 | - | 0.28 | | 3234 | 0.00 | 0.00 | 0 | 0 | - | - | - | - |
This qPath is close to today's actual qPath now, but it does not give us any more useful data:
| qPath | %VXX |
| Days |
| Avg |
| StDevP |
| | Feb 27 | (-) | (+) | (-) | (+) | (-) | (+) | (-) | (+) | | 2.2 | -0.86 | 27.71 | 1 | 5 | -0.86 | 5.54 | 0.00 | 4.30 | | 223 | -0.86 | 1.36 | 1 | 1 | -0.86 | 1.36 | 0.00 | 0.00 | | 2234 | 0.00 | 0.00 | 0 | 0 | - | - | - | - |
Fri, Feb 24, 2012, 3:21 PM EST
Volatility Research is unable
to forecast VXX close for Mon, Feb 27, 2012
because of insufficient
historical data
The Standard & Poor’s 500-share index on Friday finished at its highest point since 2008, extending a climb that began in November. The S.&.P. closed at about 1,365 points. The last time it was higher was in June 2008, before the worst of the financial crisis. Europe's sovereign-debt crisis may not be simmering like it was weeks ago, but it's far from over, and European leaders better not forget that.
|
| qPath | %VXX |
| Days |
| Avg |
| StDevP |
| | Feb 24 | (-) | (+) | (-) | (+) | (-) | (+) | (-) | (+) | | 2.3 | -7.32 | 10.45 | 2 | 4 | -3.66 | 2.61 | 2.05 | 1.62 | | 234 | 0.00 | 0.00 | 0 | 0 | - | - | - | - | | 2343 | 0.00 | 0.00 | 0 | 0 | - | - | - | - |
Based on the chart below, it appears that yesterday's forecast that VXX would close down today was wrong. But the 6 prior forecasts were correct on 6 consecutive days as shown below.
Thu, Feb 23, 2012, 11:28 AM EST
Since our forecasts have been correct for 6 consecutive days
(3 on this page — assuming today closes down as it looks like it will —
and 3 previously), we're forecasting tomorrow, Fri, Feb 24 early,
even though the odds, < 1.6/100, are against us :)
Volatility Research forecasts that
 tomorrow, Fri, Feb 24, 2012 |
| qPath | %VXX |
| Days |
| Avg |
| StDevP |
| | Feb 23 | (-) | (+) | (-) | (+) | (-) | (+) | (-) | (+) | | 3.4 | -33.91 | 11.37 | 13 | 3 | -2.61 | 3.79 | 1.67 | 4.66 | | 343 | -20.48 | 11.37 | 8 | 3 | -2.56 | 3.79 | 1.79 | 4.66 | | 3433 | -15.76 | 11.09 | 9 | 2 | -1.75 | 5.55 | 2.58 | 4.84 |
Wed, February 22, 2012 , 3:10 PM EST
Volatility Research forecasts that tomorrow, Thu, Feb 23, 2012 qPath History since Jan 3, 2011 | qPath | %VXX |
| Days |
| Avg |
| StDevP |
| | Feb 22 | (-) | (+) | (-) | (+) | (-) | (+) | (-) | (+) | | 4.3 | -34.94 | 0.97 | 12 | 2 | -2.91 | 0.49 | 1.93 | 0.48 | | 433 | -26.16 | 0.97 | 9 | 2 | -2.91 | 0.49 | 2.00 | 0.48 | | 4333 | -9.09 | 0.97 | 6 | 2 | -1.51 | 0.49 | 2.87 | 0.48 |
Tue, Feb 21, 2012, 3:30 PM EST
Volatility Research forecasts that tomorrow, Wed, Feb 22, 2012
qPath History since Jan 3, 2011 | qPath | %VXX |
| Days |
| Avg |
| StDevP |
| | Feb 21 | (-) | (+) | (-) | (+) | (-) | (+) | (-) | (+) | | 1.3 | -59.37 | 78.48 | 22 | 22 | -2.70 | 3.57 | 2.04 | 3.49 | | 133 | -38.06 | 23.08 | 15 | 8 | -2.54 | 2.88 | 2.15 | 4.52 | | 1331 | -4.36 | 0.00 | 5 | 0 | -0.87 | - | 3.09 | - |
Fri, Feb 17, 2012, 3:13 PM EST
Volatility Research forecasts that next day, Tue, Feb 21, 2012
qPath History since Jan 3, 2011 | qPath | %VXX |
| Days |
| Avg |
| StDevP |
| | Feb 17 | (-) | (+) | (-) | (+) | (-) | (+) | (-) | (+) | | 3.3 | -99.96 | 100.90 | 38 | 28 | -2.63 | 3.60 | 2.00 | 4.02 | | 331 | -46.05 | 27.54 | 14 | 5 | -3.29 | 5.51 | 2.66 | 6.71 | | 3311 | -26.71 | 2.22 | 5 | 1 | -5.34 | 2.22 | 2.62 | 0.00 |
Friday, February 10, 2012 Yesterday we bought 1,000 VXX and forecast that today, Feb 10th, would close up.
Well, not only has today closed up, it closed up 8.53%. Looks like, not only did we nail it yesterday, but VXX may be on a run with today the 4th day of the run.
Based on limited data in blue at the bottom of this chart for today's qPath last year, we forecast that Monday, Feb 13th, will also close up.
Thursday, February 9, 2012, 11:21 PM
We forecast yesterday that today, Feb 9th, would close up. VXX closed up 2.82%.
We forecast tomorrow, Feb 10th, will close up too.
The near-vertical increase in %VXX in the chart below is a condition we have not seen before — a significant increase in VXX with very little change in S&P 500 Index. This condition may be predicting a downturn in S&P 500 Index soon.
Click chart to enlarge
Wednesday, February 8, 2012, 4:33 PM
We were unable to forecast today's, Feb 8th, close yesterday because of limited data.
Today, Feb 8th, VXX closed up 2.21%.
Based on limited data in blue at the bottom of this chart for today's qPath last year, we forecast that tomorrow, Feb 9th, will close up.
Tuesday, February 7, 2012
Yesterday, Feb 6th, we forecast that VXX would close down today. We were wrong, one of the few times this year so far.
Today, Feb 7th, VXX closed up 0.97%.
We are unable to accurately forecast tomorrow's, Feb 8th, VXX close because 2011 data is too limited. There was only one day in 2011, Jan 21, that 2-digit qPath was 2.4 like today, and the next day VXX closed down. See blue 2011 data at the bottom on this chart:
Monday, February 6, 2012, updated 8:15 PM
Our 2011 qPath data forecast on Friday, Feb 3rd, that VXX would close down today, Monday Feb 6.
You can see in the chart below for today that VXX did close down -0.96% as we forecast.
Our forecast is down for Tuesday Feb 7 too, as you can see from the 2011 data in blue at the chart bottom.
Friday, February 3, 2012, updated 5:10 PM And today, Feb 3rd, VXX did close down as forecast using last year's qPath data you can see in the chart below , down - 5.52 % as we forecast:
Click chart to enlarge
Thursday, February 2, 2012
Quad Path history data for last year predicted 2/2 would close down — which it did, down 3.10%.
Forecast is down for tomorrow, 2/3, too.
Wednesday, February 1, 2012
qPath data for last year predicted 2/1 would close down, which it did. Hey, we may be on a roll :)
Click chart to enlarge
Related Tickers: VelocityShares Daily 2x VIX ST ETN (NYSEArca:TVIX), VelocityShares Daily Inverse VIX ETN (NYSEArca:XIV), VelocityShares Daily Inverse VIX Medium-Term ETN (NYSEArca:ZIV), iPath S&P 500 VIX Mid-Term Futures ETN (NYSEArca:VXZ), VIX Mid-Term Futures ETN (NYSEArca:VXZ), iPath S&P 500 VIX Short-Term Futures ETN (NYSEArca:VXX)
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