Volatility on VXX

Discussion in 'Options' started by ptrjon, Jun 10, 2010.

  1. ptrjon

    ptrjon

    When VXX(the individual security) goes down, does it's implied volatility go up?

    trick question?
     
  2. nickdes

    nickdes

    I am inclined to think the VIX would track near to VXX, as far a IV, the IV of VXX could possible go up some even with a decline. (I think) but hey, what do I know about this. Interesting.
     
  3. dinn13

    dinn13

    Implied vol is going to track realized vol. and for VXX realized vol drops with the price.

    In the pic I included the first chart is SPY price with realized and implied vol... notice both tend to go up at the same time as SPY price drops..

    The second chart is for VXX. I don't think the options have been trading for long so not much IV history. But none the less realized vol goes up when price goes up and for the short amount of IV history that there is at the very end of the chart the IV went up with price as well.
     
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