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Stationarity and Autocorrelation Functions of VXX-Time Series Analysis in

DerivValuation Posted 9 Apr.
In the previous post, we presented a system for trading VXX, a volatility Exchange Traded Note. The trading system was built based on simple moving averages. In this post, we are going to examine the time series properties of VXX in more details.
The figure below shows the VXX and its 200-day moving average for the last 5 years. From the Figure, it’s evident that the time series has a strong downward drift. The cause of this downward drift has been discussed to a great extent in the investment c…
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A Volatility Trading System-Time Series Analysis in Python

DerivValuation Posted 2 Apr.
Time series analysis is an important subject in finance. In this post, we are going to apply a time series technique to a financial time series and develop an investment strategy. Specifically, we are going to use moving averages to trade volatility Exchange Traded Notes (ETN).
Moving averages are used on financial time series data to smooth out short-term noises and identify longer-term trends. We apply them to VXX, a volatility ETN. Note that VXX
  • Launched in 2009
…
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Differences Between the VIX Index And At-the-Money Implied

DerivValuation Posted 29 Mar.
When trading options, we often use the VIX index as a measure of volatility to help enter and manage positions. This works most of the time. However, there exist some differences between the VIX index and at-the-money implied volatility (ATM IV). In this post, we are going to show such a difference through an example. Specifically, we study the relationship between the implied volatility and forward realized volatility (RV) [1] of SP500. We utilize data from April 2009 to December 2018.
Recall t[/1]…
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