Bilifuduo (98.35)

Random Musing: The Volatility of the Volume of the VIX

September 17, 2011 – Comments (2)

Ever since our recent market moodswings, I've taken a keen interest into the S&P Volatility Index. So, for our AP Statistics case study project, I decided to do a VIX-related study examining 48 variables that consisted of the volume of shares traded of an ETN linked to the VIX (TVIX). This is for all the statistics geeks out there- just some interesting tidbits i pulled out of Yahoo! Finance. 

Each of the values in the center of the boxes represents the number of shares of TVIX traded during the five minute increment starting from the time in each respective box. Each value is independent of the other, and the nature of the data is quantitative. TVIX itself is an ETN (exchange-traded note) that is linked to twice (2x) the daily performance of the actual S&P 500 VIX, which is an indicator of volatility in financial markets. The observations listed in the data table on the previous page only track the volume to 1:40 p.m. (I got lazy). 

 

 

The Case Study: 

 

Volume of the Velocity Shares TV Daily 2X VIX (TVIX) As Of September 9, 2011

(Increments of 5 Minutes)

Legend: 100 = 100 Shares Traded During That Specified Time Period

 

9:30 a.m.

 

53200

9:35 a.m.

 

10400

9:40 a.m.

 

17300

 

9:45 a.m.

 

5700

9:50 a.m.

 

11700

9:55 a.m.

 

9500

10:00 a.m.

 

4200

10:05 a.m.

 

4000

10:10 a.m.

 

3900

10:15 a.m.

 

15000

10:20 a.m.

 

3700

10:25 a.m.

 

5900

10:30 a.m.

 

10600

10:35 a.m.

 

1900

10:40 a.m.

 

4300

10:45 a.m.

 

3900

10:50 a.m.

 

15800

10:55 a.m.

 

1300

 

11:00 a.m.

 

2600

11:05 a.m.

 

700

11:10 a.m.

 

8000

11:15 a.m.

 

10300

11:20 a.m.

 

1700

11:25 a.m.

 

4900

11:30 a.m.

 

28500

11:35 a.m.

 

6000

11:40 a.m.

 

41200

11:45 a.m.

 

19200

12:00 p.m.

 

12100

 

 

12:05 p.m.

 

9300

12:10 p.m.

 

8000

12:15 p.m.

 

11500

12:20 p.m.

 

14400

12:25 p.m.

 

6900

12:30 p.m.

 

12700

 

 

12:35 p.m.

 

5400

12:40 p.m.

 

5400

12:45 p.m.

 

5400

12:50 p.m.

 

2400

12:55 p.m.

 

4200

1:00 p.m.

 

8300

1:05 p.m.

 

6600

1:10 p.m.

 

10300

1:15 p.m.

 

3300

1:20 p.m.

 

3000

1:30 p.m.

 

11100

1:35 p.m.

 

1800

1:40 p.m.

 

6500

 

 

 

 The Interesting Stats (Courtesy of my TI-84) 

Sample Size: 48

Minimum: 700

Maximum: 53200

Mean: 9458.333

Median: 6550

Range: 52500

Standard Deviation: 9685.01

Variance: 93799503.54

Q1: 3950

Q3: 11300

 

*Note: Interpret this as you want- I just found these statistics to be extremely interesting*