My count of volatility US-based ETPs trading on national exchanges is at 8 as of August 9th, 2024.
New Additions:
- Volatility Shares added ZIVB on April 18th, 2023. It is a -1X medium term VIX based ETF. For more on ZIVB see https://www.sixfigureinvesting.com/2023/03/how-does-volatility-shares-1x-medium-term-zivb-work/
| Ticker/Quotes & Leverage | Description / Time frame | Daily activity? / underlying index | ETF / ETN Company website / Prospectus | Comments / Posts | |
|---|---|---|---|---|---|
| ^VIX (Yahoo) $VIX (Schwab) VIX (Fidelity) VIX:IND (Bloomberg) .VIX (Reuters) INDEXCBOE:VIX (Google FInance) | Cboe Volatility Index® Model-free est. of SPX 30 day volatility | VIX Derived from SPX option prices | CBOE / Not investible | TVIX/UVXY–closest to a direct VIX investment | |
| Long Volatility | Short Term (1-2 month VIX futures) | ||||
| VXX 1X short term VXX IV Yahoo | iPath Series B S&P 500 VIX Short-Term Futures | Tracking Index SPVXSTR | ETN Barclays’ website | Has options available. There are slight differences from the original VXX | |
| VIXY (ETF) IX short term | ProShares VIX Short-Term Futures | Tracking Index SPVXSP Roll VIX futures | ETF ProShares | (VXX clone) options available Tax reporting: K-1 | |
| 1.5X & 2X Long Volatility | Short Term (1-2 month VIX futures) | ||||
| UVIX (ETF) 2X short term UVIX.lV Cboe | Volatility Shares | 2 X leverage, Daily rebalance Index: LONGVOL | ETF UVIX website | How Works Options available Tax reporting: K-1 | |
| UVXY (ETF) 1.5X short term | ProShares ETF | 1.5X leverage, Daily rebalance SPVXSPID:IND | UVXY website / prospectus | options available Tax reporting: K-1 | |
| Short Volatility | Short Term (1-2 month VIX futures) | ||||
| SVIX (ETF) -1.0X | Volatility Shares ETF | -1.0X leverage, Daily rebalance Index: SHORTVOL | ETF SVIX website | How works Options available Tax reporting: K-1 | |
| SVXY (ETF) -0.5X | ProShares ETF | SPVXSPID:IND | ProShares SVXY website/prospectus | options available Tax reporting: K-1 | |
| Long Volatility | Medium Term (4-5-6-7 month VIX futures) | ||||
| VXZ (ETN) 1X | iPath S&P 500 Series B VIX Mid-Term Futures ETN | Roll futures SPVXMTR:IND | ETN * Barclays website * Prospectus | Options available. There are slight difference to the original VXZ | |
| VIXM (ETF) | ProShares VIX Mid-Term Futures ETF | Roll futures SPVXMPID:IND | ETF ProShares | VXZ clone) options available | |
| Short Volatility | Medium Term (4-5-6-7 month VIX futures) | ||||
| ZIVB (ETF) | Volatility Shares’ new -1x Short Mid-Term VIX Futures ETF | Roll futures SPVXMPID:IND | ETF VolatilityShares | Tax reporting 1099 | |
| Hybrid / Strategy | |||||
| PHDG (ETF) | Invesco S&P 500 Downside Hedged Portfolio | S&P VEQTOR (S&P 500 plus a variable VXX component) | ETF | Details on VEQTOR Index Mgmt fee .39% per year Tax reporting: 1099 Options Available | |
| Volatility Settlement | |||||
| VRO CBOE,Fidelity,… ^VRO Yahoo $VRO Schwab | Weekly VIX options/futures settlement | VRO | |||
| VIX Style Volatility on SPX | |||||
| VIX1D, VIX9D, VIX3M, VIX6M, VIX1Y | VIX Methodology with different time horizons | SPX | See Volatility Related Indexes and Tickers | ||
| Other Useful Indexes | |||||
| SPXT | S&P 500 Total Returns index (includes dividends) | SPXT:IND | |||
| USB3MTA:IND | 3 Month Treasure Bill Yield | USB3MTA:IND | Treasury Website — data and spreadsheet download | ||
| VIX Style Volatility on Commodities//Stocks/Indexes | |||||
| VXN | Cboe Nasdaq 100 Volatility Index | ||||
| TYVIX | Cboe 10-year US Treasuries | ||||
| VXAZN | Cboe Amazon VIX (AMZN) | ||||
| VXAPL | Cboe Apple VIX (AAPL) | ||||
| GVZ | Cboe Gold VIX (GLD) | ||||
| VXGOG | Cboe Google VIX (GOOG) | ||||
| VXGS | Cboe Goldman Sachs VIX (GS) | ||||
| VXIBM | Cboe IBM VIX (IBM) | ||||
| OVX | Cboe OIL VIX (USO) | ||||
| VXSLV | Cboe Sliver VIX (SLV) | ||||
Hey Vance,
Any idea what symbols can be plugged into Google Finance in order to pull up the VIX futures curve? The following tickers work for spot price and (I think) some delayed symbols, but I can’t seem to build a curve like vixcentral. Thanks!
=GOOGLEFINANCE(“INDEXCBOE:VIX”) <- vix spot
=GOOGLEFINANCE("INDEXCBOE:SPVIXST") <-vxx index
=GOOGLEFINANCE("INDEXCBOE:TWLV1") <- m1 vix future.. I think.. but doesn't seem right. Thanks
The current secret code is “VIXMAR”, “VIXAPR”, etc. VIX followed by the 3 character month label. The soonest to expire and the next 3 months usually work, the ones after that are iffy. Currently August is working but not jun or jul.
Hello Vance,
Thanks for compiling the above list – it’s a great reference. Do you know of any similar exchange traded products that are based on volatility in the European or Asian markets? Also, any volatility ETP’s for the bond market that you may be aware of?
Regards.
HI rttrader12, I believe there are at least some vol based ETPs in Europe based on the VSTOXX index. I’m not aware of any USA ETPs for bond volatility. The CBOE does offer futures on 10yr bond volatility (TYVIX), but it appears to be a non-starter product with no volume / open interest.
Would these help diversify a SVXY holding?
Yes, they would provide some diversification. The USA and European markets aren’t in total lockstep.
Vance, how does one evaluate the tracking accuracy of all of the VIX products?
Hi James, The best tool I’m aware of is ETF.com’s reports on various ETFs. They typically provide a graph of tracking plus average and worst case tracking errors in the statistics Here is an example: http://www.etf.com/TVIX
Thanks, Vance.