VXX......need some help from the experts

Hey guys,

Long VXX last week since 34.

How does one interpret the historical unadjusted split chart ? I don't quite understand how to chart this etf or gauge expected moves based on past and future reverse and normal splits ?

For instance, say the s&p500 dumps 200 points fast. How big would the commensurate move in the VXX be ? Say the market did the reverse and popped 100 points fast? How much would the VXX jump then ?

Contango is another one. Got some reading to do. Leaped before I loooked on this one. Good base tho for next week. Time to trade out of it if need be

 

Maybe I ought to just buy VIX DOTM calls?

A fish out of my pond here...

 

Have you looked at any historical data already? The times where the S&P dumps 200 points fast I think would be pretty easy to find and compare.

 

Achilles,

I trade this thing quite often and if you got in at 34 then you better get out. I almost never go long this asset, the contango from the futures that are traded simply present too much of a head wind. I am almost always short this asset. As long as you are not heavily leveraged, you almost can't lose if you can manage to stay in the trade through market swings. You can also use options to protect your position if a really bizarre market move happens and the VXX spikes. The thing is structured poorly and is going to lose over the long haul, but that doesnt mean it can't double over the course of a few days, you just need to be ready.

Second, don't look absolute at point values. Who cares about a 200 point drop, because 200 points lacks context. You should be using a returns series of some sort.

For next week the way to trade this would be to trade the election, especially if Trump wins. If Trump wins I think you get a situation similar to Brexit where you get a short term spike in volatility. Once the volatility spikes, wait for the turmoil to die down a bit, then short the VXX.

 

The real vol spike will be if neither candidate wins on Tuesday. And that likelihood is increasing.

 

52 High + Diff >> 32.09 (9.58) 52 Low + Diff >> 11.02 11.49
VOLATILITY S&P 500 Open High Low Close
^VIX Today's Range 3.81 21.86 23.01 19.20 22.51
23.25
23.05
22.85 -00-01
22.65 -00-01
22.45 -00-01-02
22.25 -00-01-02
22.05 -00-01-02
21.85 -00-01-02
21.65 -00-01-02
21.45 -00-01-02
21.25 -00-01-02
21.05 -00-01-02
20.85 -00-01-02
20.65 -00-01-02
20.45 -00-01-02-40
20.25 -00-01-02-04-40
20.05 -00-01-02-04-40
19.85 -00-01-02-04-40
19.65 -00-01-02-03-04-40
19.45 -00-01-02-03-04-40
19.25 -00-01-02-03-04-40
19.05 -02-03-04-40
18.85 -02-03-04-39-40
18.65 -03-04-39-40
18.45 -04-39-40
18.25 -04-39-40
18.05 -04-37-38-39-40
17.85 -04-17-37-38-39-40
17.65 -04-17-37-38-39-40
17.45 -04-05-17-37-38-39-40-41
17.25 -04-05-06-17-37-38-39-40-41
17.05 -04-05-06-15-17-36-37-38-39-40-41
16.85 -04-05-06-15-17-36-37-38-39-40-41
16.65 -04-05-06-15-17-36-37-38-39-40-41
16.45 -05-06-15-16-17-19-36-37-38-39-40-41
16.25 -05-06-15-16-17-18-19-36-37-39-40-41
16.05 -06-16-18-19-34-36-37-39-40-41
15.85 -06-14-16-18-19-34-35-36-37-39-40-41
15.65 -06-13-14-16-18-19-27-33-34-35-36-40-41
15.45 -06-13-14-16-18-19-27-33-34-35-36-40-41
15.25 -06-07-13-14-16-19-27-33-34-35-40-41
15.05 -06-07-13-14-19-26-27-33-34-35-40-41
14.85 -06-07-13-19-26-27-33-34-35-40-41-50
14.65 -06-07-08-12-13-19-26-27-29-33-35-41-50
14.45 -07-08-11-12-13-19-24-26-27-29-30-33-41-46-50
14.25 -07-08-11-12-13-19-20-24-25-26-27-29-30-33-41-46-47-49-50
14.05 -07-08-11-12-13-19-20-21-24-25-26-27-29-30-33-41-46-47-49-50-51
13.85 -07-08-09-11-12-19-20-21-24-25-26-27-29-30-33-41-45-46-47-49-50-51-52
13.65 -07-09-11-20-21-22-23-24-25-26-27-29-30-33-41-45-46-47-49-50-51-52-57
13.45 -09-11-20-21-22-23-24-25-26-27-28-29-30-33-41-45-46-47-48-49-50-51-52-57
13.25 -09-10-21-22-23-24-26-27-28-29-32-33-41-45-46-47-48-49-50-52-57
13.05 -09-10-21-22-23-24-26-27-28-29-32-33-41-45-46-47-48-49-50-52-57
12.85 -09-10-21-22-23-26-27-28-32-41-44-45-48-50-52-54-57
12.65 -21-26-27-28-32-41-44-45-50-52-54-57-58
12.45 -21-27-28-31-32-42-43-44-45-50-52-54-56-57-58
12.25 -21-27-28-31-32-42-43-44-45-50-53-54-55-56-57-58
12.05 -31-32-42-43-44-45-53-54-55-56-58-59
11.85 -32-42-43-44-53-55-56-59-60
11.65 -42-55-56-59-60
11.45 -55-56-60
11.25

*********************************************************************

52 High + Diff >> 123.40 (85.46) 52 Low + Diff >> 30.34 7.60
iPath S&P 500 VIX Short Term Fu Open High Low Close
VXX Today's Range 1.70 37.47 38.18 36.48 37.94
42.00 -39
41.80 -39
41.60 -39
41.40 -37-38-39
41.20 -37-38-39
41.00 -37-38-39
40.80 -36-37-38-39
40.60 -36-37-38-39
40.40 -36-37-38-39
40.20 -36-37-38-39
40.00 -36-37-38-39
39.80 -36-37-38-39
39.60 -36-37-38-39-40
39.40 -36-37-38-39-40
39.20 -36-37-38-39-40
39.00 -36-37-38-39-40
38.80 -36-39-40-41
38.60 -35-39-40-41
38.40 -35-39-40-41-57
38.20 -02-34-35-39-40-41-50-57
38.00 -00-01-02-34-35-39-40-41-50-57
37.80 -00-01-02-34-35-39-40-41-50-57-58
37.60 -00-01-02-33-34-35-40-41-50-51-57-58-60
37.40 -00-01-02-33-34-35-40-41-50-51-57-58-60
37.20 -00-01-02-33-34-35-40-41-50-51-52-57-58-60
37.00 -00-01-02-33-34-35-40-41-46-47-50-51-52-56-57-60
36.80 -00-01-02-33-35-40-41-46-47-49-50-51-52-54-56-57-60
36.60 -00-01-02-04-17-27-33-40-41-46-47-48-49-50-51-52-54-55-56-57-59
36.40 -02-04-17-27-33-40-41-46-47-48-49-50-52-54-55-56-59
36.20 -02-03-04-17-27-33-40-41-46-47-48-49-50-53-54-55-56-59
36.00 -02-03-04-17-27-30-33-40-41-46-47-48-50-53-55-56
35.80 -02-03-04-17-27-29-30-33-41-50-53
35.60 -03-04-17-27-29-30-33-41
35.40 -03-04-17-27-29-30-33-41-45
35.20 -03-04-15-16-17-27-29-30-33-41-45
35.00 -04-15-16-17-27-29-30-33-41-45
34.80 -04-15-16-19-26-27-29-33-41-45
34.60 -04-16-18-19-24-25-26-27-28-29-33-44
34.40 -04-16-18-19-24-25-26-27-28-29-44
34.20 -04-05-16-18-19-24-25-26-27-28-29-44
34.00 -05-06-14-18-19-24-25-26-27-28-29-32-44
33.80 -05-06-14-18-19-21-22-24-25-26-27-28-29-31-32-42-43
33.60 -05-06-14-18-19-21-22-23-24-27-28-29-31-32-42-43
33.40 -05-06-19-21-22-23-24-27-28-31-42-43
33.20 -05-06-13-19-21-22-24-27
33.00 -06-12-13-19-21-27
32.80 -06-12-13-19-20
32.60 -06-11-12-13-20
32.40 -06-11-12-20
32.20 -06-07-11-12
32.00 -06-07-11
31.80 -06-07-11
31.60 -07-08-11
31.40 -07-08
31.20 -07-08
31.00 -07-08-09
30.80 -09-10
30.60 -09-10
30.40 -10
30.20
30.00

**********************************************************************

52 High + Diff >> 41.70 (8.70) 52 Low + Diff >> 15.36 17.64
Credit Suisse AG Open High Low Close
XIV Today's Range 1.46 33.44 34.30 32.84 33.00
42.00
41.80
41.60 -10
41.40 -09-10
41.20 -09-10
41.00 -09-10
40.80 -08-09
40.60 -07-08-09
40.40 -07-08-42-43
40.20 -07-08-42-43
40.00 -07-08-11-42-43-44
39.80 -07-11-44
39.60 -06-07-11-44
39.40 -06-07-11-12-20-44
39.20 -06-11-12-20-44
39.00 -06-11-12-13-20-44
38.80 -06-12-13-19-20-21-27-41-45
38.60 -06-12-13-19-21-22-24-27-41-45
38.40 -06-12-13-19-21-22-23-24-27-28-31-32-41-45
38.20 -06-19-21-22-23-24-27-28-29-31-32-41
38.00 -05-06-19-21-22-24-27-28-29-31-32-41-50
37.80 -05-06-14-18-19-21-22-24-25-26-27-28-29-32-41-50-53
37.60 -05-06-14-18-19-21-24-25-26-27-28-29-41-46-47-48-50-53-54-55-56-59
37.40 -05-06-14-18-19-24-25-26-27-28-29-41-46-47-48-49-50-52-54-55-56-59
37.20 -05-06-14-18-19-24-25-26-27-28-29-33-41-46-47-48-49-50-52-54-55-56-57-59
37.00 -05-16-18-19-24-25-26-27-28-29-33-41-46-47-48-49-50-51-52-54-55-56-57-60
36.80 -04-05-16-18-19-26-27-29-30-33-41-46-47-49-50-51-52-56-57-60
36.60 -04-15-16-18-19-27-29-30-33-41-46-47-50-51-52-57-58-60
36.40 -04-15-16-17-27-29-30-33-40-41-50-51-52-57-58-60
36.20 -04-15-16-17-27-29-30-33-40-41-50-51-57-58-60
36.00 -04-15-17-27-29-30-33-40-41-50-57-58
35.80 -03-04-17-27-29-30-33-40-41-50-57
35.60 -03-04-17-27-33-40-41-50-57
35.40 -03-04-17-27-33-40-41-50-57
35.20 -02-03-04-17-27-33-35-40-41
35.00 -02-03-04-17-27-33-34-35-40-41
34.80 -02-03-04-17-27-33-34-35-39-40-41
34.60 -02-04-27-33-34-35-39-40-41
34.40 -02-04-34-35-39-40-41
34.20 -00-01-02-04-34-35-39-40-41
34.00 -00-01-02-34-35-39-40-41
33.80 -00-01-02-35-39-40
33.60 -00-01-02-35-39-40
33.40 -00-01-02-36-38-39-40
33.20 -00-01-02-36-37-38-39
33.00 -00-01-02-36-37-38-39
32.80 -02-36-37-38-39
32.60 -36-37-38-39
32.40 -36-37-38-39
32.20 -36-37-38-39
32.00 -36-37-38-39
31.80 -36-37-38-39
31.60 -37-38-39
31.40 -37-38-39
31.20 -39
31.00 -39
30.80 -39
30.60 -39
30.40 -39
30.20
30.00

 

Thats a good point, but the strategy would remain the same.

 

If trump wins on Tuesday I think vols get bid but over a few days come back. Trump will soften his tone.

If it's a tie, I think trump will get more inflammatory and the news cycle will create volatility and there might even be some violence. You will probably see a sustained vol spike of a few months.

I think the first scenario is brexit, the second is the 2011 debt ceiling.

 

Even if it is a tie, it wont last too long. If its a tie, then Trump wins. That is unless Paul Ryan tries to do something stupid, which is not out of the question, but the most likely scenario is that the House puts Trump in and it's over. If the House votes for someone else, then the fireworks will begin.