You can now reach this page with this Google® Shortener short URL Mar 18, 2013 Chart 8-0318 Reason Why VXX VIX Volatility Crash May Have Turned DOWN Again and BACK ON DOWN Trend Line Frog's wisdom, "This DOWN trend may be so powerful that the only thing that can stop it is our Butterfly in Brazil passing gas." (Volatility Research Frog, Nov 30, 2012)  And more Frog's wisdom, "We're in the lull before the Perfect Volatility Storm. I see the leaves moving but don't feel the wind! It's just a matter of time until our Butterfly in Brazil passes gas. I'm never wrong yet." (Volatility Research Frog, Nov 2, 2012) Chart below from WSJ Sep 24 showing VXX DOWN 75.59% and S&P 500 UP 16.1% YTD  July 16, 2012 Before we tell you our Top 10 reasons why VXX VIX volatility crash is not over yet, we should first tell you what the 'crash' is. The VXX VIX volatility crash began Oct 4, 2011, the day after VXX peaked at 56.84. As of July 13, 2012 close of 13.35, VXX has dropped 76%. A more extreme indication of the severity of this crash is that VXX would have to increase 325% after July 13 to reach the 2011 high.
Chart 1-713 shows VXX VIX crash in this Google® Finance Chart  Here are our Top 10 reasons why we believe VXX VIX volatility crash is not over yet and why it will get worse: 1. VXX has not bottomed out yet, as you can see in the 3 charts. 2. VXX 10 Run Moving Average 10RMA is negative and shows no sign of crossing the X-axis and reverting to positive anytime soon. 4. All positive Runs since June 11, 2012 have been 8 consecutive 1-day Runs — no positive VXX strength at all. Since Jan 2011, the longest previous consecutive positive 1-day Run series was 5 days. 5. 10RMA Standard Deviation was a record low since Jan 2011 of 0.06 July 10, 2012. When Standard Deviation reached a low in previous negative Runs, it was always followed by more negative Runs with higher Standard Deviation before reverting positive. 6. The contribution of positive Runs to 10RMA in the current DOWN Runs series is the lowest it has been in any 10RMA series, positive or negative, since Jan 2011, except for one positive Run Jan 24, 2012. 7. The current negative 10RMA series, which began June 10th, reverted from positive to negative faster and steeper than did the previous 42-day positive Run series that ended Sep 30, 2011. 8. Prevailing market conditions and forecasts do not suggest a market decline, which would precipitate a VXX increase. 9. Nothing we've read is anticipating a market decline, which would precipitate a VXX increase. 10. Frog says, "Can't go up 'til done down" — and "Bet the farm until Black Bear, Black Swan or Big Bird misbehave — or the Butterfly in Brazil passes gas." Chart 2-713 shows effects of Runs Flush Factor (RFF), Runs Reversion Factor (RRF), 10-Day Runs Moving Average (10RMA) and 10RMA Standard Deviation. Actual VXX data thru July 13:  Chart 3-713 is Chart 2-713 with data  Please see also |
