Friday, January 22, 2010


The investment seeks to replicate, net of expenses, the S&P 500 VIX Short-Term Futures Total Return Index. The index offers exposure to a daily rolling long position in the first and second month VIX futures contracts and reflects the implied volatility of the S&P 500 index at various points along the volatility forward curve. The index futures roll continuously throughout each month from the first month VIX futures contract into the second month VIX futures contract.

Market volatility generally rises on declines and falls on advances.  The VXX replicates the  pricing of VIX, which measures market volatility. Note how on the Weekly chart below, VXX fell throughout the market rise of 2009:

VXX Weekly

Here is a Daily VXX chart, with a Pending Buy Signal basis my VXX Daily Trend Model:

VXX Daily Trend Following Model

No options or leverage here, but the entire concept of the underlying index, VIX, is itself leverage enough.  The Weekly flip to LONG is about 10% higher.  Should it get taken out, watch out below.



Mike said...

nice tradeable and indicator...

thanks for posting.


Mike said...

might just put that at the top of the list...