Most consistent pattern:: eod VIX (VXX/UVXY)

Although it's by no means 100%, one of my favorite patterns is to trade the move up at the end of the day in UVXY.

If you look at say the last year's worth of UVXY chart patterns you will see that it frequently moves up during the last 30 minutes or so of the session. Is anyone else trading volatility this way?

 

Thanks for the head's up.
What instrument would a trader use to make a buck on the Downward move in the afternoon on that Fitty to 200 move?
https://www.elitetrader.com/et/thre...t-right-here-baby.343012/page-16#post-5506234

 

Your confidence inspired me to take a few minutes and crunch the numbers for the last 18 months. There is no such pattern present.

 

Just visually look at last 30 minutes.... like today and yesterday.

For backtesting I'd check % of days UVXY price at 4pm is at least .4 higher than price at 3:30pm

 

end of day u get positioning plus ppl closing intraday positions which causes price to move (generally). So I'd expect volatility to increase tho I don't know if UVXY is long or short volatility.

 

I am well aware of how to properly measure this. The pattern you described does not exist.

 

Can you show us?

 

I've traded the end of day VIX bounce pattern for many years, including TVIX back in the day.

The pattern obviously does exist, a question worth looking into is how consistently it is seen. Both percentage of days, and range/magnitude.

Can a couple of you please run a backtest, and post screencap results? I'd test both UVXY and VXX, to test % of time price at 4pm is > .4 than price at 3:30pm.

Or even better, a chart showing what the different values both up and down, the distribution of price at 4pm vs 3:30pm has been for the last year or longer. Many thanks.

Finding a relatively consistent pattern can be valuable for everyone, because it's so rare. This one's my favorite.

At least, everyone visually look at last few months UVXY charts to see end of day bounces. Here's a screencap to illustrate.

 

29.7% of the time between June 29, 2020 and yesterday.

 

Predictably watch es futures when Sara shows up on cnbc around 3pm. Es will drop most of the time. Vix spikes at that time. It is to do with cash crew closing and or imbalance. Sometimes it works opposite way too. This is also a corollary to common concept of buy es close and sell open.