If you want to backtest various volatility products like VXX, VXZ, XIV, CVOL, IVOP (see volatility tickers for my complete list) I offer a set of spreadsheets that give the underlying rolling index values from March 2004. See this post for details.
Bloomberg offers charts that go back 5 years for the related indexes. My thanks to “~” from Volatility Futures and Options for pointing this out.
Some Bloomberg symbols:
|VIX:IND (free)||VIX cash Index|
|SPVXSTR:IND (not free)||S&P 500 VIX Short-Term Futures Index TR (End of Day)|
|SPVXMTR:IND (not free)||S&P 500 VIX Mid-Term Futures Index TR (End of Day)|
|SPXT:IND (not free)||S&P 500 Total Returns index (includes dividends)|
|USB3MTA:IND free||3 Month Treasure Bill Yield|
|SPVXTSER:IND free||XVIX index|
Barclays’ offers a spreadsheet with the equivalent of SPVXSTR from January 2009 on the the VXX section of their website.
Barclays’ offers a spreadsheet with the equivalent of SPVXMTR from January 2009 on the the VXZ section of their website.
- Volatility Related Indexes and Tickers
- When a Hurricane Messes with a Volatility Index
- Historical Volatility Rolling Indexes: 2004 — 2014
- Getting index quotes on Bloomberg—not always obvious
Saturday, July 19th, 2014 | Vance Harwood