What happens overnight?

Monday, January 30, 2012 

What happens overnight to NYSE VXX? 

First, how does VXX open if it closed up the previous day?

On the 111 days VXX closed up in 2011, VXX opened up 55 days for cumulative %VXX gain of 233.87 and opened down 56 days for a cumulative %VXX loss of -156.62. Net %VXX gain of the opens on these 111 days was 77.25.

How does VXX open if it closed down the previous day? 

On the 140 days VXX closed down in 2011, VXX opened up 57 days for cumulative %VXX gain of 196.30 and opened down 83 days for a cumulative %VXX loss of -249.87. Net %VXX loss of the opens on these 140 days was -53.57.

Some other conclusions from this data are:
  1. There is extreme, unpredictable volatility overnight.
    Holding VXX overnight very risky.
  2. When VXX CLOSES UP, probability of next day opening UP is 49/51,
    but the %VXX cumulative gains on close are about 50% more than the loses.
  3. When VXX CLOSES DOWN, probability of next day opening UP is 42/58.
  4. How VXX closes is not a good predictor how it will open the next day, not even 50/50, whether it closed up or down the previous day.

Spreadsheet data with averages:
            
-53.57 -249.87 196.30
140 83 57
-0.38 -3.01 3.44

77.25 -156.62 233.87
111 56 55
0.70 -2.80 4.25

(to be continued



Comments