Monday, November 16, 2009

Monday VIXology

This is a little different spin on the VXX PDQ Dashboard. Last week I profiled a VXX basket using the currencies while today we're looking at a basket of ultra 2x ETF pairs. The net effect is that the ultra ETFs have much higher inherent betas and so the pair betas average out to a little over -1, considerably more consistent and muted than the VXX currency pairs.
And, proceeding with the weekly update, here's a little different VIXology mix, which includes the VIX, VXX, UUP and, of course, the Qs.
Thursday's UUP basket update post with a strong BUY signal turned out to be a one day wonder (actually 2 day since the PDQ fired a consensus BUY on Wednesday's open.
Our 5-6 N day target now looks seriously in jeopardy and the initial BUY was stopped out on Friday's open for a measly .05 gain based on the ELE stop which closes the position if it has retraced 50% of it's previous gains.
Of interest here is the mirror image of the VXX and the UUP charts with the VIX chart understandably showing an exaggerated relative trading range no doubt due to the fact that VIX is not a price, but a statistical reflection of volatility in the SPX.
I'll run some comparative PDQ pair studies to assess the relative risk/ reward of trading either the VXX or the UUP against the same pairs.
To be honest, I should have seen the striking similarities in these charts earlier, but HEY!, I'm old and there's lots of distractions down here in beautiful Oceanside, CA so I'll try and redeem myself later in the week.

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