Friday, March 19, 2010
A Rotator Variation
I've juggled the metrics columns format once more and I think this is a keeper for a while. The yellow column is still the daily % change, while the column to the right "Price" is, in fact, a Worden Brothers algorithm that calculates a proprietary price volatility value. It's like beta, but it's not. The next column to the right "5 Day' is the 5 day performance of the ETF relative to the performance of the SPY. Beta is , of course, beta. I don't know why Worden can't figure out the VXX beta. . it's currently at -2.16 according to other data vendors.