VXX Ranges vs S&P 500, Year 2011

Table 1

%VXX Range ±       Sum Count Average StDevP slope
Y
intercept 		R^2








0.2 -0.2892 11 -0.0263 0.1005 -0.0046 -0.0262 0.0003








0.4 -0.3488 25 -0.0140 0.2389 -0.1828 -0.0083 0.1325








1.0 -4.5210 51 -0.0886 0.6039 -0.3627 -0.9270 0.0988








2.0 -14.3114 104 -0.1376 1.1268 -0.8911 -0.1341 0.2398








3.0 -34.4627 148 -0.2329 1.6137 -1.4669 -0.1855 0.3610








5.0 -120.2613 202 -0.5954 2.4356 -1.8860 -0.2530 0.5427








7.0 -120.2995 228 -0.5276 3.0500 -2.2012 -0.2204 0.6373








25.0 20.6913 252 0.0821 4.6561 -2.7751 0.1119 0.7606


Chart 1 showing %VXX vs %S&P 500 correlation for %VXX range ± 25, Year 2011

20120317 2011 VXX range=25


Chart 2 showing %VXX vs %S&P 500 correlation for %VXX range ± 7, Year 2011

20120317 2011 VXX range=7


Chart 3 showing %VXX vs %S&P 500 correlation for %VXX range ± 5, Year 2011

20120317 2011 VXX range=5


Chart 4 showing %VXX vs %S&P 500 correlation for %VXX range ± 3, Year 2011

20120317 2011 VXX range=3


Chart 5 showing %VXX vs %S&P 500 correlation for %VXX range ± 2, Year 2011

20120317 2011 VXX range=2


Chart 6 showing %VXX vs %S&P 500 correlation for %VXX range ± 1, Year 2011

20120317 2011 VXX range=1


Chart 7 showing %VXX vs %S&P 500 correlation for %VXX range ± 0.4, Year 2011

20120317 2011 VXX range=0.4



Chart 8 showing %VXX vs %S&P 500 correlation for %VXX range ± 0.2, Year 2011

20120317 2011 VXX range=0.2



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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