iPath S&P 500 VIX Short-Term Futures ETN (VXX) VXX is an exchange traded note based on VIX Short-Term Futures Index offering exposure to a daily rolling long position in the first and second month of the VIX futures contracts and reflects the implied volatility of the S&P 500 Index one month later. The index futures roll continuously from the first month of the VIX futures contract into the second month of the contract. After a 1:4 split on Nov 9 VXX turned higher after declining as low as 44.00 on the split. Since the VIX futures are usually in contango this ETN will have a downward bias as it rolls from the first month to the second. The current 20-day Historical Volatility is 50.12 up from 43.66 in our last review, while the 30-day Historical Volatility is 47.87 up from down from 43.60 in the last review two weeks ago. The IV/HV ratio is 1.34 creating a positive volatility spread. The Implied Volatility Index Mean is 64.23 with the calls at 65.15 and the puts at 63.32 skewed to the calls. The put-call ratio is .25, normally considered bullish, but in this case bearish for the SPX as call buyers are expecting VXX to rise with a decline in the SPX. Read more: http://www.theoptionsinsider.com/tradingtechnology/?id=5828#ixzz16cP1xQOo The Options Insider: Your Inside Source For Options Information
