UVXY Pair Trading

Reference data
Symbol Price Change Date Time Remark
^VIX 9.42 -10.2% 2017-12-16 10:02 Volatility S&P 500
UVXY 10.37 -6.74% 2017-12-15 16:00 Yahoo Data (possible 15 min delay)
UVXY 10.37 -6.74% 2017-12-15 16:00 ProShares Ultra VIX Short Term Futures
UVXY 10.22 -8.09% 2017-12-15 20:00 Post-Market Trading
^UVXY-IV 10.32 -6.96% 2017-12-15 18:59 Net Value
VXX 28.19 -3.19% 2017-12-15 16:00 iPath S&P 500 VIX Short Term Futures
VXX 28.04 -3.71% 2017-12-15 20:00 Post-Market Trading
SVXY 127.36 3.27% 2017-12-15 16:00 ProShares Short VIX Short Term Futures
SVXY 127.88 3.69% 2017-12-15 20:00 Post-Market Trading
TVIX 5.67 -6.9% 2017-12-15 16:00 VelocityShares Daily 2x VIX Short Term ETN
TVIX 5.68 -6.73% 2017-12-15 19:59 Post-Market Trading

Days of ^VIX trading range covered the SMA in past 100 trading days starting from 2017-12-15. UVXY current trading price 10.37 comparing with Est. History
SMA Est Premium Days UVXY Est Premium
5 Days 9.853 -4.39% 24 10.82 -4.16%
10 Days 9.787 -3.75% 19 10.75 -3.51%
20 Days 10.26 -8.22% 16 11.27 -7.99%
Boll Up 11.92 -20.94% 6 13.09 -20.75%
Boll Down 8.611 9.4% 1 9.456 9.66%
5 Weeks 10.02 -5.99% 11 -5.76%
10 Weeks 10.19 -7.56% 11.19 -7.33%
20 Weeks 10.71 -12.07% 11.76 -11.85%
5 Months 10.39 -9.34% 11.41 -9.12%
10 Months 10.69 -11.87% 11.74 -11.66%
20 Months 12.31 -23.49% 13.52 -23.31%

Days of ^VIX trading range covered the SMA in past 100 trading days starting from 2017-12-15. VXX current trading price 28.19 comparing with Est. History
SMA Est Premium Days VXX Est Premium
5 Days 9.853 -4.39% 24 28.73 -1.87%
10 Days 9.787 -3.75% 19 28.63 -1.54%
20 Days 10.26 -8.22% 16 29.32 -3.85%
Boll Up 11.92 -20.94% 6 31.69 -11.05%
Boll Down 8.611 9.4% 1 26.94 4.63%
5 Weeks 10.02 -5.99% 28.97 -2.68%
10 Weeks 10.19 -7.56% 29.21 -3.5%
20 Weeks 10.71 -12.07% 29.96 -5.92%
5 Months 10.39 -9.34% 29.5 -4.44%
10 Months 10.69 -11.87% 29.93 -5.81%
20 Months 12.31 -23.49% 32.26 -12.63%

Days of ^VIX trading range covered the SMA in past 100 trading days starting from 2017-12-15. SVXY current trading price 127.36 comparing with Est. History
SMA Est Premium Days SVXY Est Premium
5 Days 9.853 -4.39% 24 124.99 1.89%
10 Days 9.787 -3.75% 19 125.4 1.57%
20 Days 10.26 -8.22% 16 122.49 3.97%
Boll Up 11.92 -20.94% 6 112.43 13.28%
Boll Down 8.611 9.4% 1 132.56 -3.92%
5 Weeks 10.02 -5.99% 123.97 2.73%
10 Weeks 10.19 -7.56% 122.94 3.6%
20 Weeks 10.71 -12.07% 119.76 6.35%
5 Months 10.39 -9.34% 121.72 4.63%
10 Months 10.69 -11.87% 119.9 6.22%
20 Months 12.31 -23.49% 110.01 15.77%

Days of ^VIX trading range covered the SMA in past 100 trading days starting from 2017-12-15. TVIX current trading price 5.67 comparing with Est. History
SMA Est Premium Days TVIX Est Premium
5 Days 9.853 -4.39% 24 5.926 -4.31%
10 Days 9.787 -3.75% 19 5.886 -3.67%
20 Days 10.26 -8.22% 16 6.173 -8.14%
Boll Up 11.92 -20.94% 6 7.166 -20.88%
Boll Down 8.611 9.4% 1 5.179 9.48%
5 Weeks 10.02 -5.99% 6.026 -5.91%
10 Weeks 10.19 -7.56% 6.129 -7.48%
20 Weeks 10.71 -12.07% 6.443 -12%
5 Months 10.39 -9.34% 6.249 -9.26%
10 Months 10.69 -11.87% 6.429 -11.8%
20 Months 12.31 -23.49% 7.405 -23.43%

Discussions and Suggestions

Development Record

VXX Calculations
Related software:
S&P 500 - ES SPY SH513500 SZ161125
NASDAQ-100 - SH513100 SZ159941
A Shares - SZ150022 SZ150152
H-Shares - SZ150175 SH510900 SZ160717
Hang Seng Index - SZ150169 SH513660 SZ159920 SZ160924
ADR Tools Future ETF Gold ETF Graded Fund LOF Tools HK LOF Pair Trading Stock Groups
My Portfolio

More options? Please login or register account. metropolitan-tundra