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*
