The plot below shows the autocorrelation and partial autocorrelation (PACF) functions of VXX returns. It’s interesting to note that VXX returns are positively auto-correlated at 3-day lag.

We look at 3 key indicators: autocorrelation, distribution and volatility to confirm that the tide is indeed shifting. Since March 2009, and especially over the last 2 years we have seen a sense ...