Volatility Tickers


Tuesday, July 2nd, 2013 | Vance Harwood

I have collected what I believe is all the active tradable volatility ETNs / ETFs in the US markets together in this list.  For my opinion on these see Volatility Funds Categorized and Ranked.

With the recent addition of VelocityShares’ TRSK and SPXH ETFs the number of USA based vix oriented ETF/ETN  funds is 22.  For more information on these new entries see this post.

For a summary of volatility news see The Volatility Landscape .

You can expand the table, or search for a specific ticker if you don’t see the one you want.

Ticker/QuotesDescription / Time frameDaily activity? / underlying indexETF / 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
CVOL/TVIX/UVXY--closest to a direct VIX investment
Hybrid
PHDG (ETF)PowerShares S&P 500 Downside Hedged PortfolioS&P VEQTOR
(S&P 500 plus a variable VXX component)
ETF
PowerShares
Prospectus
Details on VEQTOR Index
Mgmt fee .39% per year
Tax reporting: 1099
TRSK (ETF)VelocityShares Tail Risk Hedged Large Cap ETF85% S&P with 15% vol component. Vol component allocated with S&P 500 VIX
Futures Tail Risk ER Short index SPVXTRSP
ETF
VelocityShares ETFs

Prospectus
Review / backtest
SPXH (ETF)VelocityShares Volatility Hedged Large Cap ETF85% S&P with 15% vol component. Vol component allocated with S&P 500 VIX Futures Variable Long/Short ER Short Term" SPVXVSP"ETF
VelocityShares ETFs
Prospectus
Review / backtest
VIXH (ETF)

(Inception Aug 2012)
First Trust CBOE S&P 500 Tail Hedge ETFS&P 500 w/ reinvested div + VIX calls in times of high volatility. Monthly rebalance
CBOE Tail Risk Index
VXTH:IND
ETF
* First Trust VIXH website
* Prospectus
Mgmt fee .6% per year--steep considering that at least 99% of the portfolio will always be in the S&P 500.
VQTS&P VEQTOR
(S&P 500 plus a variable VXX component)
VQT SPVQDTRETN
* VQT website
* VQT prospectus
A covered call that's long volatility
XVZiPath S&P 500 Dynamic VIX
VIX/VXV based short/long 1-2 month, long 4,5,6,7 futures
Dynamic mix of short/long short term futures combined with long medium term SPDVIXTRETN
XVZ Website
XVZ prospectus
*Backtest to 2004
*Under the hood
*Hedging High Yield Bonds
XVIXUBS E-TRACS Daily Long-Short VIXDaily rebalance to preserve -.5x short term, 1x medium allocation. Not daily percentage.
SPVXTSER
ETN
UBS XVIX
+1x roll 4,5,6,7 month VX - .5x 1-2 month VX
Long Volatility(1-2 month VX)
VXXiPath S&P 500 VIX Short-Term Futures
Tracking Index SPVXSTR (see IV/Index History spreadsheet)ETN
Barclays website
VXX prospectus
options available
VIXY (ETF)ProShares VIX Short-Term FuturesRoll futures VIXYETF
ProShares
(VXX clone)
options available
Tax reporting: K-1
VIIXVelocityShares Daily Long VIX Short-TermRoll futures SPVXSP:INDETN
VelocityShares
(VXX clone)
2X Long Volatility(1-2 month VX)
TVIXVelocityShares Daily 2X VIX Short-TermDaily rebalance SPVXSP:INDETN
VelocityShares
New Lease on LIfe
UVXY (ETF)ProShares ETFDaily rebalance
SPVXSPID:IND
UVXY website / prospectusoptions available
Tax reporting: K-1
Short Volatility(1-2 month VX)
XIVVelocityShares Daily Inverse VIX Short-TermInverse, Daily rebalance of: MSN Money SPVXSP:INDETN
VelocityShares
-1x percentage, Termination with -80% daily move
IVOP Path Inverse S&P 500 VIX Short Fixed at inception SPVXSP:INDETN
Barclays' IVOP Prospectus
Termination price=$10, VXX would be greater than ~63.4
XXViPath Inverse S&P 500 VIX Short Fixed at inception SPVXSP:INDETN
Barclays' XXV Prospectus
VXX short Not Recommended!
SVXY (ETF)ProShares ETFSPVXSPID:INDProShares SVXY website/prospectusoptions available
Tax reporting: K-1
2X Long Volatility(3-4 month) VX
CVOLC Tracks ETN Daily rebalance + monthly adj to short S&P weighting CVOLE:INDETN
* C-Tracks website
* CVOL prospectus
Adds variable SP 500 short component
Under the hood
Long Volatility
(4-5-6-7 month) VX
VXZiPath S&P 500 VIX Mid-Term Futures ETN Roll futures SPVXMTR:INDETN
* Barclays website
* Prospectus
options available
VIXM (ETF)ProShares VIX Mid-Term Futures ETFRoll futures SPVXMPID:INDETF
ProShares
(VXZ clone)
options available
VIIZVelocityShares Daily Long VIX Medium-TermRoll futures SPVXMP:INDETN
VelocityShares
(VXZ clone)
2X Long Volatility(4-5-6-7 month) VX
TVIZVelocityShares Daily 2X VIX Medium-TermDaily rebalance SPVXMP:INDETN
VelocityShares
Short Volatility (4-5-6-7 month) VX
ZIVVelocityShares Daily Inverse VIX Medium-TermDaily rebalance SPVXMP:INDETN
VelocityShares
Inverse roll 4,5,6,7 month VX
ZIV backtest
Other Volatility Indexes
VXVCBOE 3 month volatility (S&P500) VXV CBOE (not investible)
VXAZNCBOE Amazon VIX (AMZN)
VX Volatility Futures (on right) Volatility FuturesCFE
VXAPLCBOE Apple VIX (AAPL)
GVZCBOE Gold VIX (GLD)CBOE Gold Volatilty Micro Site
VXGOGCBOE Google VIX (GOOG)
VXGSCBOE Goldman Sachs VIX (GS)
VXIBMCBOE IBM VIX (IBM)
VXNCBOE Nasdaq 100 Volatility Index
OVXCBOE OIL VIX (USO)
VXSLVCBOE Sliver VIX (SLV)
Volatility Settlement
VRO CBOE,Fidelity,...
^VRO Yahoo
$VRO Schwab
VIX settlement value (once per month) VRO
Volatility Related IndexesSome of the ancillary indexes used by volatility ETNs/ETFs
SPXTS&P 500 Total Returns index (includes dividends)SPXT:IND
USB3MTA:IND 3 Month Treasure Bill YieldUSB3MTA:INDTreasury Website -- data and spreadsheet download
US00O/NUSD Overnight London Interbank Offerred Rate

Tickers included: CVOL, IVO (short), STPP, TVIX, TVIZ, UVXY, SVXY,VIIX, VIIZ, VIX, VIXM, VIXY, VQT(strategy), VX (futures),  VXX, VXZ, XIV(short), XOIL (oil), XVIX (strategy), XXV (short), ZIV (short), XVZ, SPVXSTR, SPVXMTR, SPXT, USB3MTA, SPVXTSER, SVXY, VIXH, PHDG



Tuesday, July 2nd, 2013 | Vance Harwood