Wednesday, November 25, 2009

The VIXEN Four Faces

With yesterday's volume at about 60% of the daily norm I thought it might be a good time to review some of the basic VIXEN concepts and at the same time show the disparity between some of the large asset class ETFs relative to the VIX crosses.
Shown above are the NYAD, Qs, IWM and SPY. I could have shown the DIA, the VTI, the EEM, etc., but I leave that to you, gentle readers, in explore over your holiday.
What's of interest here is the relative performance of these 4 charts on the VIXEN cross.
The duration of each concurrent trade is shown with the red and green horizontal lines and the vertical white line. . . stats are as follows:
Qs . . +.3 %
SPY . . +.2%
IWM . . +.5%
NYAD . . +54%
Yes, a little breathtaking on the NYAD, but that's typical short term behavior characteristic of a rally. . in this case 60 minutes. Too bad you can't actually trade the NYAD. . but, like the VIX, it's a statistic, not an equity or derivative.
One of the reasons I never trade the SPY, or any of it derivatives is reflected in the relative performance of the SPY vs the IWM vs the Qs. There's just less momo, less beta, less volatility, less risk, but also less risk/reward.
This particular example is a bit peculiar as the ranking of volatility is typically Qs, IWM and SPY.
I suspect that recent higher volatility in the IWM can be traced to it's current lagging the other indices in new highs, with the result that bullish surges tend to favor the IWM as it tries to play catch up.

No comments: