Thursday, November 05, 2009

VXX PDQ Dashboard

This PDQ Dashboard is the logical extension of my explorations into the volatile world of the VXX, an ETN based on S&P VIX futures. If only there were VXX options, then we could trade a derivative of a derivative of a derivative and wouldn't that be fun!
For this study I've turned off the risk buffers (ESP, ARMM and ELE) which would have otherwise put the RTH pair in OUT status.
Two other factors to recognize when looking at this Dashboard are . .
#1 . . the inherent beta of VXX relative to the rest of the pack and
#2 . . the fact that these are all divergent pairs (as opposed to convergent)
As such, the amplitude of the daily MoMo is going to get exaggerated much more so than the Qs or the FXY dashboards and therefore requires its own unique risk threshold baselines. While we're fiddling around with refining that algorithm the raw signals for the VXX generated by the dashboard have been consistently reliable over the past two weeks and will become a regular feature of future Monday VIXology updates.

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