iPath S&P 500 VIX Short Term Futures(VXX) Pair Trading

Reference data
Symbol Price Change Date Time Remark
VXX 15.52 0.45% 2017-03-30 16:00 iPath S&P 500 VIX Short Term Futures
VXX 15.45 0% 2017-03-30 18:30 Post-Market Trading
XIV 74.49 -0.36% 2017-03-30 16:00 VelocityShares Daily Inverse VIX Short Term Futures ETN
XIV 74.76 0% 2017-03-30 18:31 Post-Market Trading
UVXY 15.61 0.77% 2017-03-30 16:00 ProShares Ultra VIX Short Term Futures
UVXY 15.47 -0.13% 2017-03-30 18:31 Post-Market Trading

The Premium of current trading price 74.49 comparing with VXX Est of XIV Val value and the Days in past 100 trading days starting from 2017-03-30 did the estimated SMA value fitted in the trading range History
SMA VXX Est Days XIV Val Premium UVXY Val Premium
5 Days 15.74 37 73.37 1.53% 16.07 -2.84%
10 Days 16.17 16 71.29 4.49% 16.93 -7.78%
20 Days 16.49 10 69.74 6.82% 17.57 -11.17%
Boll Up 17.93 1 62.77 18.67% 20.46 -23.69%
Boll Down 15.05 12 76.7 -2.88% 14.69 6.28%
5 Weeks 16.78 -1 68.31 9.04% 18.16 -14.05%
10 Weeks 17.64 -1 64.16 16.09% 19.88 -21.48%
20 Weeks 21.59 -1 45.07 65.29% 27.79 -43.84%
5 Months 22.81 -1 39.15 90.29% 30.25 -48.39%
10 Months 32.41 -1 -7.285 -1122.51% 49.49 -68.46%
20 Months 58.97 -1 -135.83 -154.84% 102.76 -84.81%

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Development Record

VXX Calculations
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