Saturday, June 5, 2010

How Closely Did VXX (the ETN) Track VIX (the index) in May?

$VIX - Daily Line (thin): notice how closely the ETN tracks the actual VIX index (red below when falling)

I found this to be an interesting comparison.  Some lag between any ETF (or ETN) and the index it tracks is to be expected, and frankly many track pretty poorly.  It seems that VXX tracks the VIX better when the Volatility Index is rising than when it is falling, but overall tracks very well.  Comments?