I have generated the trading day values for the following rolling indexes of VIX volatility futures for March 26, 2004 through February 3, 2012.
- Month 1-2 rolling index, constant weighted average 1 month
- Month 2-3 rolling index, constant weighted average 2 months
- Month 3 -4 rolling index, constant weighted average 3 months
- Month 4-5 rolling index, constant weighted average 4 months
- Month 4-5-6-7 rolling index, constant weighted average 5 months
These indexes, or ones like them are required if you want to backtest various ETP products, or evaluate your own volatility strategy.
These rolling indexes don’t exactly match the official indexes (SPVXSTR, SPVIX2MT, SPVIX3MT, SPVIX4MT, and SPVXMTR), but when I compare my results to the values freely available on Bloomberg my results track within +-0.03% for the values I have sampled from December 2008 to December 2011 for each of the indexes. See this readme file for more information on accuracy comparisons. The official indexes start on December 20th, 2005, but I pushed them back to the beginning of VIX volatility futures trading which was in March 2004 by extrapolating mssing front month data.
In working through the details of the algorithms there were no major surprises, but there were some subtleties—like discovering the market was closed on January 2, 2007 to commemorate President Reagan. One significant detail is that the day-to-day rolling of the futures is done on a dollar weighted basis. For example on the rolling 1 to 2 month index, if there are a total of 21 trading days in the current first month futures, it is not 1/21 of the contracts that are rolled over to the second month each day—it’s 1/21th of the dollar value of the index that is rolled over. The reason for this distinction is that the goal of the index is to give a constant duration or maturity (e.g., 2 months), if the roll amount isn’t dollar weighted then contango / backwardation would shift that duration one way or the other.
- SFI Volatility Rolling Indexes
- Product Options
# Option Price Download File Size 1 Rolling Index 1 Month Maturity $20.00 SFI Volatility Rolling Index 1 Month Maturity 116.5KB 2 Rolling Index 2 Month Maturity $20.00 SFI Volatility Rolling Index 2 Month Maturity 116KB 3 Rolling Index 3 Month Maturity $20.00 SFI Volatility Rolling Index 3 Month Maturity 116KB 4 Rolling Index 4 Month Maturity $20.00 SFI Volatility Rolling Index 4 Month Maturity 115.5KB 5 Rolling Index Medium Term Maturity $20.00 SFI Volatility Rolling Index 4/5/6/7 Month Maturity 115.5KB 6 Rolling Index-all 5 Maturities $75.00 SFI Volatility Rolling Index 1 to 5 Month Maturity 178.5KB
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Your credit card statement will show the following description on this transaction: "PAYPAL*VH2SOLUTION". After you have paid look for a "Return to Six Figure Investing" link. This will take you to a page where you can download the product.
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Friday, March 16th, 2012 | Vance Harwood