Don’t get too excited about volatility.

Some people are looking for increased volatility due to the fact that $VXX just had a mild breakout.




$VXX has been above its 5-day moving average for more than three consecutive days only seven times in the last year.

What happens for the next week after that? I’m glad you asked.

Our pattern recognition algo plotted these curves for the following five trading day after such an uptrend:

VXX-5-days after-uptrend

There are couple ways to play these curves — none incredibly bullish for $VXX. The most dominant pattern involves volatility rising for the next couple days and then tapering off (curve 1).  There are other path dependent options but I will leave it to your own interpretation.

Disclaimer: Nothing on this site should ever be considered to be advice, research or an invitation to buy or sell any securities, please click here for a full disclaimer.

blog comments powered by Disqus
Dynamichedge Blog