Friday, February 13, 2009

VXX and VIX Diverging

It has been an interesting week for volatility, with the VIX seemingly having a mind of its own and responding rather sluggishly to some of the major moves in the market. For the most part, VXX, the new VIX ETN, has been moving in concert with the VIX, if only at a rate of about 80% of the volatility index.

Today, however, marks the first significant divergence between VXX and the VIX since VXX started trading on January 30th. As I write this, VXX is down 0.84% for the day while the VIX is up 2.79% – a divergence which can be picked up in the ten day chart with hourly bars below.

I have no particular explanation for today’s divergence. For now at least, I merely wish to call attention to this phenomenon and keep an eye on it going forward.

[source: BigCharts]

0 comments:

DISCLAIMER: "VIX®" is a trademark of Chicago Board Options Exchange, Incorporated. Chicago Board Options Exchange, Incorporated is not affiliated with this website or this website's owner's or operators. CBOE assumes no responsibility for the accuracy or completeness or any other aspect of any content posted on this website by its operator or any third party. All content on this site is provided for informational and entertainment purposes only and is not intended as advice to buy or sell any securities. Stocks are difficult to trade; options are even harder. When it comes to VIX derivatives, don't fall into the trap of thinking that just because you can ride a horse, you can ride an alligator. Please do your own homework and accept full responsibility for any investment decisions you make. No content on this site can be used for commercial purposes without the prior written permission of the author. Copyright © 2007-2013 Bill Luby. All rights reserved.
 
Web Analytics