IBB or XBI?

IBB or XBI

  • IBB

    Votes: 1 50.0%

  • XBI

    Votes: 1 50.0%
  • Total voters
    2
Implied volatility and historical volatility readings show XBI as more volatile especially yesterday (60.2% modified Parkinson vol)
ticker iv20d iv30d iv60d iv90d orHv1d orHv5d orHv10d orHv252d
XBI 38.5 38.2 37.8 37.8 60.2 38.2 32.3 38.9
IBB 29.3 28.8 28.5 28.8 44.4 28.0 24.0 30.8

Here are the top component weightings.
e89ac166e61880427d9a17bc5ba36eb1.png

https://gyazo.com/e89ac166e61880427d9a17bc5ba36eb1
 
XBI for short term looks better since it is equal weight. I personally own the 3X version -- LABU. I also own the 3 small vaccine players MRNA INO & NVAX. Seems like NVAX has done the best but these are incredibly volatile.

I think Moderna has the best chance to get it to market.
 
Since March 16 (the low price this year for the daily close price of IBB and XBI adjusted for dividends), the Pearson correlation coefficient between IBB and XBI is 0.992582970767626. So they will probably provide similar risk-adjusted returns.
 
ph1l said:
Since March 16 (the low price this year for the daily close price of IBB and XBI adjusted for dividends), the Pearson correlation coefficient between IBB and XBI is 0.992582970767626. So they will probably provide similar risk-adjusted returns.
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I'll be looking for information re: Pearson correlation - a volatility-adjusted measure, I assume? On my candlestick charts, I track correlation and beta (calculated on a rolling 6-month period). I'm showing XBI:IBB correlation of 0.99, beta 1.18.

Curious where do you source your dividend-adjusted eod quotes?
 
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Sigue! said:
I'll be looking for information re: Pearson correlation - a volatility-adjusted measure, I assume? On my candlestick charts, I track correlation and beta (calculated on a rolling 6-month period). I'm showing XBI:IBB correlation of 0.99, beta 1.18.

Curious where do you source your dividend-adjusted eod quotes?
More...

Pearson correlation measures the strength and direction of a linear relationship between two assets. The maximum value == 1 which would show a perfect linear relationship.
See https://www.investopedia.com/terms/...ays,linear relationship between two variables.

For example, here is a graph of the dividend adjusted prices (from https://finance.yahoo.com/quote/IBB/history?p=IBB and https://finance.yahoo.com/quote/XBI/history?p=XBI) since March 16, 2020 with IBB on the X axis and XBI on the Y axis.
upload_2020-7-26_18-4-51.png


It looks fairly close to a straight line.

So in general, when XBI goes up, so does IBB and vice versa. XBI is more volatile than IBB, so XBI would be expected to go up or down faster than IBB.
 
It's the same correlation formula that I use. I just don't ever remember having seen it referenced appropriately. I've been using beta to quantify volatility/systematic risk.
 
A few more observations from the options market:
  • XBI trades about double the options per day by average but has a wider market bid ask width in IV terms.
  • XBI is much more volatile trading at 40% IV vs 28% for IBB. HV for the year is 39% and 31% for IBB.
  • XBI has a steeper short term slope, puts are trading higher than calls more relative to IBB.
  • XBI is up 27% over the last 6 months where IBB is up 20%, however they are both about the same change over the last week and last year.
33ce6b58e972ea3c6c723e035e74faf9.png


09fa40e02a14cd11ce4298b811d9a7d2.png

The options market sees a bigger chance of a large down move in XBI relative to IBB.
 
Matt_ORATS said:
  • XBI is up 27% over the last 6 months where IBB is up 20%, however they are both about the same change over the last week and last year.
More...
Very insightful perspective. Thanks.

While trending that "volatility" becomes octane, right? Since late March XBI is up over 60%; IBB not quite 40%. Of course, all trend are different and volatility varies over the course of a trend, and everyone's definition of a trend is different.
 
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