VXX_60 Trend Model
VXX_240 Trend Model
VXX Daily Trend Model
Let me count the ways:
(1) Just trade VXX itself for Long & Short;
(2) Trade XXV (inverse VXX) for VXX-Shorts;
(3) Trade SPY or QQQQ inversely for VXX signals, i.e. SPY LONG for VXX SHORT signals.
Forget about "correlation with VIX," just look at the Trend Models.
XXV Daily Trend Model
A
7 comments:
Checking in from New Orleans.
Allan,
You're making the process too easy for everyone!!
Follow the price, trend, and Vxx. Very Nice and effective.
Took the TBT long trade on 10/14/10. May be the best way to short the biggest bubble since the dot com days. Like the risk/reward set-up. We'll see.
Looks like triangle terminals.I see this on the S+P chart as well.
A breakout direction has to happen sometime.
Maybe the day after the elections.....??
Allan,
Great comments! I have been trading the VXX using the trend model and options. I have been holding put options since the short signal at $21.50 and the current price went as low as $12.92. Great method!!!
Having trouble understanding what I'm actually investing in if I were to buy VXX.
Anyone have a link to a description that's more understandable than the iPath prospectus?
I get the idea of volatility, but I'm missing how you actually bet on it using VXX..
Having trouble understanding what I'm actually investing in if I were to buy VXX.
Anyone have a link to a description that's more understandable than the iPath prospectus?
I get the idea of volatility, but I'm missing how you actually bet on it using VXX..
Anon,
This link might be clearer: http://www.ipathetn.com/VXX-overview.jsp?investorType=pro
Essentially except for the expenses Barclays deducts the net effect should be the same as being continously long or short the front two months in VIX futures: http://barchart.com/commodityfutures/CBOE_S%26P_500_Vix_Futures/VIX10
Unlike VIX futures you are exposed to Barclays Bank creditworthiness. If BB goes down all the iShares are likely worthless.
When they first came out with VIX futures and options (1 futures = 10options = 1000 shares) there was enough mispricing there was some alpha available in buy or sell writes but they are usually tightly priced now.
Offtopic but with the election coming I urge everyone to NOT vote for anyone that wants to balance the Federal budget as they are lagging reality by at least 39 years.
If you have a US dollar in your pocket or financial account, it is ultimately because the Federal government deficit spent a dollar more into existence than it destroyed by taxation. The only other source for dollar-denominated assets is banks loaning them into existence but those dollars disappear when the loana are repaid. A new tool may help visualize this:
http://econviz.com/balance-sheet-visualizer.html
When someone says we should balance the Fedral budget they are knowingly or unknowingly saying we should become further indebted to private bankers in order to obtain an adequate money supply to lubricate the economy.
See Steve Keen's The Roving Cavaliers of Credit and L. Randal Wray's The Endogenous Money Approach for more detail.
Digger
http://moslereconomics.com/
Counter Insurgency, Deficit Terrorist Unit
Please pardon lack of clarity or accuracy. What I meant to say is any exchange traded note - ETN has essentially the same risk as buying a bond from the issuing company.
ETFs do hold underlying assets that may be distributed to shareholders in the event of closure of an ETF but your guess is as good as mine as to how long that could take and how many lawyers would rake off some of the proceeds.
iPaths are Barclays and iShares are Blackrock.
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