Friday, September 9, 2016

Is The Model Over-Estimating The VIX?


Symbol Mon 12 Tue 13 Wed 14 Thu 15 Fri 16 Average VSD
^VIX -5.28% 20.90% 22.92% 19.11% 11.89% 13.91% .
^TYX 1.18% 2.95% 4.57% 4.25% 5.75% 3.74% .
^XNG -0.63% -0.58% 0.74% 2.34% 4.44% 1.26% >
^TRAN -0.08% -1.16% -0.10% 0.52% 0.24% -0.12% .
^XOI -0.42% -1.01% -1.80% 0.18% 1.76% -0.26% .
^BANK -0.25% -0.70% 0.10% -1.16% -0.27% -0.46% .
^NBI 1.21% -1.58% -1.31% -0.03% -0.93% -0.53% .
^RUT 0.63% -1.91% -2.30% -1.71% -1.02% -1.26% .
^INSR -0.09% -1.67% -2.69% -1.39% -0.57% -1.28% .
^GSPC 0.11% -1.75% -1.76% -1.79% -1.71% -1.38% .
^INDS 0.60% -1.95% -2.70% -1.83% -1.76% -1.53% .
^IXIC -0.10% -2.20% -2.46% -1.85% -2.16% -1.76% .
^UTY -0.35% -2.65% -2.59% -3.01% -0.89% -1.90% .
^XAU -0.72% -3.42% -4.73% -2.07% 0.84% -2.02% .
^IXTC -0.28% -2.03% -3.24% -2.90% -2.06% -2.10% .
^IXCO -0.45% -2.46% -3.02% -2.55% -2.21% -2.14% .
^HGX -0.70% -3.90% -2.96% -3.19% -2.64% -2.68% .
^HUI -1.95% -3.17% -6.29% -3.23% -1.38% -3.21% .

Top 10 Estimated Positive Moving Leveraged ETFs

Symbol Mon 12 Tue 13 Wed 14 Thu 15 Fri 16 Average VSD
MIDZ 3.52% 5.38% 8.37% 8.25% 2.83% 5.67% .
UWTI 5.16% -1.72% 3.79% 5.09% 11.65% 4.79% .
SQQQ 2.71% 7.55% 5.11% 5.31% 2.87% 4.71% .
TVIX -6.56% 9.27% 8.10% 11.23% 1.47% 4.70% .
dust* 2.23% 4.98% 14.67% 8.55% -8.57% 4.37% .
TZA 1.89% 6.38% 6.32% 3.94% 2.82% 4.27% .
DRV -6.91% 6.13% 8.04% 7.49% 6.37% 4.23% .
TECS -0.61% 7.05% 5.78% 5.33% 3.35% 4.18% .
BZQ -0.44% 5.28% 3.12% 7.69% 3.59% 3.85% .
UVXY 0.62% 6.14% 5.38% 8.27% -1.31% 3.82% .


Top 10 Estimated Positive Moving SP100 Stocks

Symbol Mon 12 Tue 13 Wed 14 Thu 15 Fri 16 Average VSD
APA -1.49% 1.11% 6.56% 11.03% 17.53% 6.95% >
COP 0.18% -0.38% 2.17% 2.52% 4.22% 1.74% .
MET -0.23% 0.67% 2.46% 0.97% 1.89% 1.15% .
GILD 0.17% 0.69% 0.35% 2.24% 0.74% 0.84% .
WBA -0.29% -0.27% 1.31% 1.11% 0.81% 0.54% .
LLY -0.30% -0.24% -0.47% 1.19% 1.95% 0.43% .
COF -0.72% -0.53% 1.32% 0.43% 0.81% 0.26% .
MS 0.86% 0.44% -0.14% 0.25% -0.23% 0.23% .
MA -0.17% -0.93% 0.18% 0.63% 0.82% 0.11% .
AXP -0.01% -1.01% -0.39% 0.39% 1.17% 0.03% .

No comments: