Comparison of intraday VXX volatility 2011


Comparison of VXX intraday volatility 2011
Click chart to enlarge

Comparison of VXX intraday volatility 2011
Click chart to enlarge

If the 7 data points above the error bars were not included, it appears that the slope of the trend line would be about zero, suggesting no correlation of intraday volatility when %VXX is negative.


%VXX VXX




(H/L - 1)*100

(-) (+) (-) (+)
Sum -409.47 430.17 608.21 655.86
Count 140 112 140 112
Avg -2.92 3.84 4.34 5.86
Stdevp 2.19 4.17 2.17 3.21


to be continued

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)



Comments