VXX Quads history

Oct 15, 2012

Jan 3, 2011 – Oct 15, 2012 quad history

Quad#%
115233.70%
2408.87%
320244.79%
45712.64%



Total451100.00%



Fri, March 30, 2012 9:43 PM EDST (Charts 11,12 new April 9, 1:30 AM)

We'll know we've cracked the VIX volatility code when our forecasts of VXX next-day close continue to be reasonably accurate over time — and if we can keep the Gang of 7 from misbehaving too badly :) 

Table 1 below helps understand VXX movements from quad to quad. Here's an example using 2-digit qPath algorithm #1:

VXX closed in quad 1 for 48 days since Jan 3, 2011 after closing in quad 3 the day before (qPath=1.3, from quad 3 to quad 1) — VXX closed down 24 days and up 24 days the next day after closing in quad 1. 

Table 1

To-quad
1

2

3

4

1+2

3+4

All
From(-)(+)
(-)(+)
(-)(+)
(-)(+)
(-)(+)
(-)(+)
(-)(+)
quad




















1211334941326144059143017473123546140101






















23582578614000510158614131629






















3242448257453075152172629556032928661147






















4751211213518033861413821211435






















total55471021415299255147201434696213111269181181131312





















Table 2

Table 1 collapsed
To- 1 2 3 4 1+2 3+4 All
From






quad






1 3413 40 14 47 54 101








2 8 7 14 0 15 14 29








3 48 7 75 17 55 92 147








4 12 2 18 3 14 21 35








total 10229 147 34 131181 312



Our qPath algorithm for Wed, Mar 14, qPath=1.3 predicted that Thu, Mar 15th, would close down — which it did. We did not make a forecast Mar 14 because we mistakenly manually overrode (scroll down to Mar 14) the algorithm.

Table 3
qPath%VXX
Days

Avg
StDevP
Mar 14(-)(+)(-)(+)(-)(+)(-)(+)
1.3-59.7084.142323-2.603.662.053.44
133-38.0623.08158-2.542.882.154.52
1333-21.3316.0684-2.674.012.376.08

Had our Mosconi Effect algorithm been finished on Mar 14, it too would have predicted correctly that Mar 15 would close down.

Table 4
M-path%VXX
Days

Avg
StDevP
Mar 14(-)(+)(-)(+)(-)(+)(-)(+)
2 days-94.14112.053435-2.773.202.033.27
3 days-52.6540.062119-2.512.112.203.19
4 days-36.9632.851514-2.462.352.303.55
5 days-23.6314.82119-2.151.651.990.98
6 days-23.6314.82119-2.151.651.990.98



Table 5 contains %VXX, Days, Average %VXX, Standard Deviation StDevP, and Days Probability*100 for each 2-digit qPath.
  • Highest probability of VXX positive days is  qPath  4.4
  • Highest probability of VXX negative days is  qPath  4.3
  • Lowest  probability of VXX positive days is  qPath  4.2 
  • Lowest  probability of VXX negative days are qPaths 4.2 and 4.4
Table 5
    Probability
qPath

%VXX

Days
Average

StDevP
Days*100

(-)(+)total(-)(+)total(-)(+)
(-)(+)
(-)(+)
1.1-57.2149.93-7.28211334-2.723.84
2.313.81
6238
1.2-15.4821.636.15358-5.164.33
2.991.16
3863
1.3-61.3984.8323.45242448-2.563.53
2.023.42
5050
1.4-23.4213.63-9.787512-3.352.73
2.033.80
5842
2.1-29.1445.4216.299413-3.2411.36
1.519.03
6931
2.2-2.2527.7125.47257-1.125.54
0.264.30
2971
2.3-7.3211.374.05257-3.662.27
2.051.60
2971
2.4-2.022.210.20112-2.022.21
0.000.00
5050
3.1-89.6047.90-41.70261440-3.453.42
2.893.23
6535
3.2-21.0421.240.208614-2.633.54
1.622.38
5743
3.3-124.85114.16-10.69453075-2.773.81
2.014.04
6040
3.4-33.9115.85-18.0613518-2.613.17
1.673.84
7228
4.1-19.2223.334.125914-3.842.59
1.422.52
3664
4.20.000.000.00000——
——
00
4.3-48.160.97-47.1915217-3.210.49
2.030.48
8812
4.40.0011.1311.13033—3.71
—2.42
0100
total-535.00491.34-43.65181131312








Table 6

Table 5 collapsed
                Probability * 100 
qPath %VXX Days
Average

StDevP

Days

total total (-) (+)
(-) (+)
(-) (+)
1.1 -7.28 34 -2.723.84
2.31 3.81
6238
1.2 6.15 8 -5.16 4.33
2.99 1.16
38 63
1.3 23.45 48 -2.56 3.53
2.02 3.42
50 50
1.4 -9.78 12 -3.35 2.73
2.03 3.80
58 42
2.1 16.29 13 -3.24 11.36
1.51 9.03
69 31
2.2 25.47 7 -1.12 5.54
0.26 4.30
29 71
2.3 4.05 7 -3.66 2.27
2.05 1.60
29 71
2.4 0.20 2 -2.02 2.21
0.00 0.00
50 50
3.1 -41.70 40 -3.45 3.42
2.89 3.23
65 35
3.2 0.20 14 -2.63 3.54
1.62 2.38
57 43
3.3 -10.69 75 -2.77 3.81
2.01 4.04
60 40
3.4 -18.06 18 -2.61 3.17
1.67 3.84
72 28
4.1 4.12 14 -3.84 2.59
1.42 2.52
36 64
4.2 0.00 0 — —
— —
0 0
4.3 -47.19 17 -3.21 0.49
2.03 0.48
88 12
4.4 11.13 3 — 3.71
— 2.42
0 100
total -43.65 312








Data above can be pasted into a spreadsheet and sorted by different columns, like the following Table 7 sorted by descending probability Days closing up — showing which 2-digit qPaths are most likely to close up the next day.


Table 7
Probability   
qPath

%VXX

Days
Average

StDevP
Days  *100

(-) (+) total (-) (+) total (-) (+)
(-) (+)
(-) (+)
4.4 0.00 11.13 11.13 0 3 3 — 3.71
— 2.42
0 100
2.2 -2.25 27.71 25.47 2 5 7 -1.12 5.54
0.26 4.30
29 71
2.3 -7.32 11.37 4.05 2 5 7 -3.66 2.27
2.05 1.60
29 71
4.1 -19.22 23.33 4.12 5 9 14 -3.84 2.59
1.42 2.52
36 64
1.2 -15.48 21.63 6.15 3 5 8 -5.16 4.33
2.99 1.16
38 63
1.3 -61.39 84.83 23.45 24 24 48 -2.56 3.53
2.02 3.42
50 50
2.4 -2.02 2.21 0.20 1 1 2 -2.02 2.21
0.00 0.00
50 50
3.2 -21.04 21.24 0.20 8 6 14 -2.63 3.54
1.62 2.38
57 43
1.4 -23.42 13.63 -9.78 7 5 12 -3.35 2.73
2.03 3.80
58 42
3.3 -124.85 114.16 -10.69 45 30 75 -2.77 3.81
2.01 4.04
60 40
1.1 -57.2149.93 -7.28 20 13 33 -2.72 3.84
2.313.81
62 38
3.1 -89.60 47.90 -41.70 26 14 40 -3.45 3.42
2.89 3.23
65 35
2.1 -29.14 45.42 16.29 9 4 13 -3.24 11.36
1.51 9.03
69 31
3.4 -33.91 15.85 -18.06 13 5 18 -2.61 3.17
1.67 3.84
72 28
4.3 -48.16 0.97 -47.19 15 2 17 -3.21 0.49
2.03 0.48
88 12
4.2 0.00 0.00 0.00 0 0 0 — —
— —
0 0
total -535.00 491.34 -43.65 181 131 312








and sorted by descending probability Days closing down — showing which 2-digit qPaths are most likely to close down the next day.

Table 8
Probability   
qPath

%VXX

Days
Average

StDevP
Days *100

(-) (+) total (-) (+) total (-) (+)
(-) (+)
(-) (+)
4.3 -48.16 0.97 -47.19 15 2 17 -3.21 0.49
2.03 0.48
88 12
3.4 -33.91 15.85 -18.06 13 5 18 -2.61 3.17
1.67 3.84
72 28
2.1 -29.14 45.42 16.29 9 4 13 -3.24 11.36
1.51 9.03
69 31
3.1 -89.60 47.90 -41.70 26 14 40 -3.45 3.42
2.89 3.23
65 35
1.1 -57.2149.93 -7.28 21 13 34 -2.723.84
2.31 3.81
62 38
3.3 -124.85 114.16 -10.69 45 30 75 -2.77 3.81
2.01 4.04
60 40
1.4 -23.42 13.63 -9.78 7 5 12 -3.35 2.73
2.03 3.80
58 42
3.2 -21.04 21.24 0.20 8 6 14 -2.63 3.54
1.62 2.38
57 43
1.3 -61.39 84.83 23.45 24 24 48 -2.56 3.53
2.02 3.42
50 50
2.4 -2.02 2.21 0.20 1 1 2 -2.02 2.21
0.00 0.00
50 50
1.2 -15.48 21.63 6.15 3 5 8 -5.16 4.33
2.99 1.16
38 63
4.1 -19.22 23.33 4.12 5 9 14 -3.84 2.59
1.42 2.52
36 64
2.2 -2.25 27.71 25.47 2 5 7 -1.12 5.54
0.26 4.30
29 71
2.3 -7.32 11.37 4.05 2 5 7 -3.66 2.27
2.05 1.60
29 71
4.4 0.00 11.13 11.13 0 3 3 — 3.71
— 2.42
0 100
4.2 0.00 0.00 0.00 0 0 0 — —
— —
0 0
total -535.00 491.34 -43.65 181 131 312








Please note that there are only 16 2-digit qPaths. Tables 5-8 would have 64 entries for 3-digit qPaths and 256 entries for 4-digit qPaths (see Table 13,) of which Table 3 shows 1 qPath each. See Chart 7 below for VXX 3-digit "Next-day-close days after 3-digit qPaths."


Charts 1-6 below show next-day close after 2-digit qPaths from Jan 3, 2011 to March 29, 2012. (%VXX positive blue, negative red) of: 
  1. %VXX Totals
  2. %VXX Days
  3. %VXX Averages
  4. %VXX Averages +- One Standard Deviation
  5. %VXX Standard Deviations 
  6. %VXX Probabilities
  7. %VXX Next-day-close days after 3-digit qPaths
  8. %VXX Net days close days after 3-digit qPaths
  9. Chart 8 with probabilities
  10. Chart 9 probabilities and net days 
  11. %VXX 4-digit qPath probabilities and net days  new!
  12. Chart 11 with data  new!
Charts 1,2,3,4,5,6,7,8,9,10,11,12

   
 Chart 1
20120401b VXX chart totals crop.png
  
Chart 2 
20120401b VXX chart days crop


Chart 320120401b VXX chart averages crop 
Chart 4 20120401c averages +- Standard Deviations chart. crop
Chart 5 20120401c Standard Deviations chart crop
Chart 6 20120401c probabilities chart crop.png
Chart 7 20120402d 3 digit VXX chart days crop
Chart 8*20120403 chart net days crop
Chart 9* 20120403a chart net probability days crop
Chart 10*  
  
 
* Probabilities in Charts 8,9,10 are *10 in charts are *100 in data

Data below shows that knowing the 4th day's qPath data is important to determine how VXX will likely close the day after qPath 131; e.g. qPath 1314 is the most likely of the 4 4-digit qPaths to close up on the day after qPath 131.

Table 9

qPath %VXX
Days

Avg
StDevP
Apr 3 (-) (+) (-) (+) (-) (+) (-) (+)
1.3 -61.39 84.83 24 24 -2.56 3.53 2.02 3.42
131 -14.34 40.62 4 9 -3.59 4.51 1.89 2.50
1311 -3.95 18.89 1 3 -3.95 6.30 0.00 2.29
1312 -5.15 5.66 2 1 -2.58 5.66 2.16 0.00
1313 -5.24 14.41 1 4 -5.24 3.60 0.00 2.13
1314 0.00 1.66 0 1 — 1.66 — 0.00

The Mosconi Effect M-path algorithm for qPath 1313 gives similar predictions but with a lower probability than algorithm #1 qPath 1313 above.

Table 10

M-path %VXX
Days

Avg
StDevP
Apr 3 (-) (+) (-) (+) (-) (+) (-) (+)
2 days -94.14 112.05 34 35 -2.77 3.20 2.03 3.27
3 days -41.48 72.00 13 16 -3.19 4.50 1.65 2.87
4 days -22.77 31.26 6 9 -3.80 3.47 1.78 2.94



Table 11

qPath %VXX
Days

Avg
StDevP
Apr 3 (-) (+) (-) (+) (-) (+) (-) (+)
3.3 -124.85 114.16 45 30 -2.77 3.81 2.01 4.04
331 -59.71 37.37 18 6 -3.32 6.23 2.61 6.33
3311 -32.19 2.22 7 1 -4.60 2.22 2.85 0.00
3312 0.00 0.00 0 0 — — — —
3313 -22.22 22.38 8 3 -2.78 7.46 2.34 8.08
3314 -5.30 12.76 3 2 -1.77 6.38 0.52 3.45

The Mosconi Effect M-path algorithm for qPath 3311 gives similar predictions but with a lower probability than algorithm qPath 3311 above.

Table 12

M-path %VXX
Days

Avg
StDevP
Apr 3 (-) (+) (-) (+) (-) (+) (-) (+)
2 days -206.93 142.12 73 40 -2.83 3.55 1.97 3.88
3 days -93.19 60.60 28 11 -3.33 5.51 2.22 5.01
4 days -55.22 25.46 14 6 -3.94 4.24 2.27 2.39


Data in Table 13 below for 3 digit qPath shows %VXX, Days in Quads, %VXX averages, and %VXX StDevP, Jan 7.2011 - Mar 29, 2012.

Table 13 new Apr 7

qPath
%VXX

 .....
Days ......... Avg............ StDevP qPath 
%VXX.. .....
Days ......... ...Avg ........ StDevP

(-) (+) (-) (+)
(-) (+) (-) (+)
(-) (+) (-) (+)
(-) (+) (-) (+)
111 -22.04 5.16 6 3 -3 -3.67 1.72 2.97 1.23 311 -26.66 16.49 8 4 -4 -3.33 4.12 1.22 4.85
112 -0.97 21.96 1 4 3 -0.97 5.49 0.00 5.40 312 0.00 5.49 0 3 3 — 1.83 — 1.03
113 -25.46 21.80 11 5 -6 -2.31 4.36 1.94 2.59 313 -48.17 22.53 13 6 -7 -3.71 3.76 3.31 2.54
114 -8.74 1.00 3 1 -2 -2.91 1.00 1.50 0.00 314 -14.78 3.39 5 1 -4 -2.96 3.39 3.46 0.00
121 -0.94 10.05 1 2 1 -0.94 5.03 0.00 0.11 321 -18.24 12.20 6 3 -3 -3.04 4.07 1.67 3.17
122 -7.54 9.52 1 2 1 -7.54 4.76 0.00 0.28 322 -1.56 4.19 1 1 0 -1.56 4.19 0.00 0.00
123 -7.01 2.05 1 1 0 -7.01 2.05 0.00 0.00 323 0.00 4.85 0 2 2 — 2.43 — 0.28
124 0.00 0.00 0 0 0 — — — — 324 -1.23 0.00 1 0 -1 -1.23 — 0.00 —
131 -14.34 40.62 4 9 5 -3.59 4.51 1.89 2.50 331 -59.71 37.37 18 6 -12 -3.32 6.23 2.61 6.33
132 -3.26 18.20 2 4 2 -1.63 4.55 0.77 2.46 332 -11.34 16.27 3 4 1 -3.78 4.07 0.85 2.38
133 -39.74 23.77 16 9 -7 -2.48 2.64 2.09 4.31 333 -46.32 41.01 18 14 -4 -2.57 2.93 1.34 3.15
134 -4.05 2.24 2 2 0 -2.02 1.12 1.69 0.78 334 -7.49 19.51 6 6 0 -1.25 3.25 0.53 2.57
141 -16.15 13.17 5 3 -2 -3.23 4.39 1.16 4.14 341 -12.99 0.00 4 0 -4 -3.25 — 1.02 —
142 0.00 0.00 0 0 0 — — — — 342 0.00 0.00 0 0 0 — — — —
143 -0.32 0.00 1 0 -1 -0.32 — 0.00 — 343 -20.48 15.85 8 5 -3 -2.56 3.17 1.79 3.84
144 -6.94 0.46 1 2 1 -6.94 0.23 0.00 0.23 344 -0.44 0.00 1 0 -1 -0.44 — 0.00 —
211 -9.09 3.59 3 1 -2 -3.03 3.59 1.62 0.00 411 -19.22 3.89 5 3 -2 -3.84 1.30 1.42 0.26
212 0.00 0.00 0 0 0 — — — — 412 0.00 0.00 0 0 0 — — — —
213 -20.05 21.86 6 2 -4 -3.34 10.93 1.44 9.77 413 0.00 14.75 0 5 5 — 2.95 — 3.06
214 0.00 19.98 0 1 1 — 19.98 — 0.00 414 0.00 4.70 0 1 1 — 4.70 — 0.00
221 0.00 0.83 0 1 1 — 0.83 — 0.00 421 0.00 0.00 0 0 0 — — — —
222 0.00 20.66 0 2 2 — 10.33 — 1.80 422 0.00 0.00 0 0 0 — — — —
223 -2.25 1.36 2 1 -1 -1.12 1.36 0.26 0.00 423 0.00 0.00 0 0 0 — — — —
224 0.00 4.86 0 1 1 — 4.86 — 0.00 424 0.00 0.00 0 0 0 — — — —
231 -5.71 0.00 1 0 -1 -5.71 — 0.00 — 431 -7.40 0.00 2 0 -2 -3.70 — 1.56 —
232 0.00 0.00 0 0 0 — — — — 432 -1.75 0.00 1 0 -1 -1.75 — 0.00 —
233 -1.60 10.45 1 4 3 -1.60 2.61 0.00 1.62 433 -37.64 0.97 11 2 -9 -3.42 0.49 2.14 0.48
234 0.00 0.92 0 1 1 — 0.92 — 0.00 434 -1.38 0.00 1 0 -1 -1.38 — 0.00 —
241 -2.02 0.00 1 0 -1 -2.02 — 0.00 — 441 0.00 6.96 0 1 1 — 6.96 — 0.00
242 0.00 0.00 0 0 0 — — — — 442 0.00 0.00 0 0 0 — — — —
243 0.00 2.21 0 1 1 — 2.21 — 0.00 443 0.00 4.17 0 2 2 — 2.09 — 0.94
244 0.00 0.00 0 0 0 — — — — 444 0.00 0.00 0 0 0 — — — —




Data in Table 14 corresponds to 3 distinct regions in Chart 11 for 4-digit qPaths predicting VXX next-day close:
  • 1-39     VXX next day close up
  • 40-66   VXX next day no change
  • 67-107 VXX next day close down

Table 14 new Apr 9

Summary of 4-digit data in Chart 12


Days
Net Days Prob

%VXX
VXX qPath # (-) (+) total (-) (+)
(-) (+) Total
up 1-39 39 8 61 69 0 53 0.22 -29.70 242.13 212.43
n/c 40-66 27 50 40 90 -10 0 0.29 -138.91 144.50 5.60
down 67-107 41 122 28 150 -94 0 0.49 -367.23 104.09 -263.14













total 107 180 129 309 -104 53 1.00 -535.84 490.73 -45.11



309

157

-45.11



Chart 11 20120408 VXX 4-digit qPath

Chart 11 with data 
Chart 12       20120408 VXX probabilities and Net Days



We recommend you not make any investment decisions based on any information above, or anywhere on our website. 

We've been wrong, and so will you.




January 31, 2012

2011 VXX history data by Quads

   To Quad


1234
1 + 23 + 4
From
Quad
 Days

(+)(-)total
131133113
4444       88 
274120
111223 
34255711
4768115 
491141
101525 









Total892311425
112139251 








December 30, 2011 data not included

The actual %VXX values corresponding to the above data must also be considered to project VXX gains and losses.

This data, however, gives a good indication of which Quad VXX closes in from one day to the next, but not gain and loss values.



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)