Author Archives: 努力！奋斗！

Volatility trending up: the downard trend of volatility ended in July 2014, and volatility started trending up with higher lows and higher highs. Furthermore, VIX broke important threshold of 24 in Oct 2014. This indicates the consensus bull market has … Continue reading →

I’ve been wondering if the Vix future dates have any effect on the VXX daily return. I thought VXX probably drops more on the expiration day. So I calculated  the average VXX daily return since inception and daily returns as … Continue reading →

The following figure shows SPX and natural gas future prices since 1990. Three spikes in natural gas prices indicated important market changes. It seems that natural gas is a leading indicator of SPX prices. NG1 peak in Dec 2000 signaled … Continue reading →

VIX futures are supposed to reflect people’s expectation of  VIX prices into the future, aka, looking forward. However, how do people make predictions? Most people look back into the past to predict the future. For example, what should be the … Continue reading →

VIX futures are often used to hedge equity portfolios because they have negative correlations. In order to get continuous hedge, one needs to roll the front expiring futures to back month futures. What are the cost of such hedge? If … Continue reading →

The following chart shows the VXX price and the number of underlying future contracts. This shows the primary factor affecting VXX price change is the underlying contracts. Over a long period, VIX is range bound and its changes become almost … Continue reading →

Most of the automated strategies only work well under certain market conditions. For example, many of the VIX future contango trend following strategies worked well 2009 through 2012, during which VIX was in a high range while trending downward. However, … Continue reading →

How to describe VIX trend? VIX Trend and The Significance of VIX Peaks (and Troughs?) VIX range Description of SPY and VIX regimes

The VIX is very low this year with only sporadic/periodic spikes to low 20s. This give a big boost to XIV (up 75% YTD) while VXX is bleed to death (down 60% YTD). However, due to those sporadic spikes, almost … Continue reading →