Volatility Related Indexes and Tickers


Updated: Mar 10th, 2017 | Vance Harwood | @6_Figure_Invest

Unless you have access to a Bloomberg terminal or something similar finding quotes and historical data for volatility indexes can be an adventure.  Below I’ve assembled links to the online resources that I’ve been able to find.  Links marked with a “$SFI” are historical data sets that I offer for sale—they don’t match the official indexes exactly, but they are very close.

In many cases data is available from multiple sources.  I did not attempt to list all of them.

If you are looking for symbols/tickers for volatility exchange traded products then you should go to this post where I list information on all USA traded volatility style funds (there area around 25).  Simulated histories for some of these funds back to 2004 are available here.

Historical data from different sources can differ—often because they use different closing times.  Sites like Yahoo and Google Finance use standard NYSE hours, but the CBOE’s hours are different (close is 4:15 ET) and open times vary.  For example with the advent of near 24 hour trading on VIX futures the open time for VIX futures for Tuesday through Friday is 4:30PM the previous day and Sunday at 5PM is the opening time for Monday.  When used for computing other indexes (e.g., when VIX is used in computing the index used by VQT), the CBOE data should be used.

If you have an account with Fidelity’s Active Trader Pro  you can get historical intra-day data for many volatility tickers by exporting data from their charts.  Schwab’s StreetSmart Edge allows export of watch list information, including option Greeks.

 

Standard long volatility indexes

Index Quotes/Charts Used by:(not exhaustive) Historical Data Resources Description
SPVXSTR / SPVIXSTR     MasterData VXX Barcays3 (since Jan 09)
$SFI (Mar 04-Feb12)
Methodology Short Term Volatility Total Returns1
SPVXSP /SPVXSPID MarketWatch
FT.com
(includes OHLC)
Yahoo
Quicken
XIV
TVIX
VIXY
SVYX
UVYX
FT.com
Market Watch
$SFI (Mar 04-Feb12)
Methodology Short Term Volatility Excess Returns2
SPVXMTR FT.com VXZ Barclays3 (since Jan 09)
$SFI (since Mar 04)
Methodology Mid Term Volatility Total Returns1
SPVXMP MarketWatch
FT.com
Yahoo
ZIV
VIXM
FT.com
MarketWatch
(single dates)
$SFI (since Mar 04)
Methodology Mid Term Volatility Excess Returns2

Notes

  1. The term “Total Returns” (TR) denotes that dividends/interest is included in the index. For example for SPTR it would be the dividends from the underlying 500 stocks in the S&P 500. In the case of SPVXSTR it would be interest from 13 week treasury bills.
  2. “Excess Returns” (ER) in this context indicates that the calculation does not include dividends or interest.
  3. Barclays data includes some non-USA trading days, the values are carried over from the previous trading day

Related Posts

 

Hedged style volatility fund indexes 

Index Quotes/Charts Used by Historical Data Resources Description
SPVQDTR/ SPVQDTID BigCharts
FT.com
VQT
PHDG
FT.com
$SFI  (since Mar 04)
Barclays  (VQT IV only)
Methodology S&P 500® Dynamic VEQTOR Index TR
SPVQDER BigCharts
FT.com
Used within VQT /PHDG calcs FT.com Methodology S&P 500® Dynamic VEQTOR Index ER
SPVQSER Yahoo
FT.com
VQTS FT.com Methodology S&P 500® VEQTOR Switch Index ER
SPVQSTR Google VQTS Google

FT.com

S&P 500® VEQTOR Switch Index TR
SPVXVSP Google
FT.com
SPXH FT.com Methodology
33% 2X ST
66% -1X ST
White Paper
VelocityShrs
Prospectus
Volatility Hedged Large Cap Index
SPVXTRSP Google
FT.com
TRSK FT.com Methodology
45% 2X ST
55% -1X ST
White Paper
VelocityShrs
Prospectus
Tail Risk Hedged Large Cap Index
SPDVIXTR ?? XVZ Barclays3
$SFI  (since Mar 04)
Methodology S&P 500 Dynamic VIXFutures Index
VXTH CBOE VIXH Methodology
White Paper
CBOE VIX Tail Hedge Index

Related Posts

 

VIX style Indexes and Settlement quotes 

Index Quotes/Charts Used by Historical Data Resources Description
VXSTSM Yahoo ^VXST
Google Finance
INDEXCBOE:VXST
CBOE (since Jan-2011)
Ft.com
White Paper Measure of 9 day IV of (SPX) Index options.
VIX® Yahoo ^VIX
Google INDEXCBOE:VIX
VIX options & futures VQT
PHDG
XVZ
CBOE (since Jan1990) White Paper
Near real time calc graph
Measure of 30 day IV of (SPX) Index options
VIXMO Google Finance
indexcboe: VIXMO
FT.com
Google
Calc the VIXMO—the easy Part VIX index previous to Oct 6, 2014
Measure of 30 day IV of (SPX) Index options using SPX monthly options
VXV Yahoo ^VXV XVZ CBOE (since Dec 2007)
Yahoo
Measure of 3-month IV of (SPX) Index options.
VXMTSM Google Finance
indexcboe:VXMT
CBOE (since Jan 2008)
Google
FT.com
Measure of 6-month IV of (SPX) Index options.
SVRO Yahoo ^SVRO VXST options & futures (not trading) CBOE Settlement process Exercise-settlement value for VXST options & futures
VRO Yahoo ^VRO VIX options /&futures CBOE Settlement process Exercise-settlement value for VIX options  & futures
VVIXSM Yahoo ^VVIX CBOE historical VVIX  -since Jan 07

CBOE (since March 06)  VVIX Term Structure

White Paper VIX methodology applied to VIX options (VIX of VIX)

Related Posts

 

VIX Style Calculation Indexes  (used by CBOE to compute VXST, VIX, VIXMO, VXV, VXMT)

Index Quotes/Charts Used by Historical Data Resources Description
VSTN Google VXST Google White Paper CBOE Near-term VXST Index
VSTF Google VXST Google White Paper CBOE Far-term VXST Index
VIN Google4 VIX Google4 White Paper CBOE Near-term VIX Index
VIF Google4 VIX Google4 White Paper CBOE Far-term VIX Index
VINMO Google VIXMO Google CBOE Near-term VIX monthly only
VIFMO Google VIXMO Google CBOE Far-term VIX monthly only
VIX(#)  CBOE VIX CBOE (since 2010) CBOE per month VIX calculations

Notes

  1. The CBOE changed its VIX calculation on 21-Oct-14 to use weekly options bracketing the 30 day VIX target expectation. Before that the VIN/VIF values reflect the old calculation that only used monthly SPX option series.

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Support Indexes

Index Quotes/Charts Used by Historical Data Resources Description
13Wk T Bills   Yahoo ^IRX VXX  VXZ US Treas
SFI
Conversion 13wk US Treasury bills
Libor FRED VQT  PHDG FRED
SPX  Yahoo (^GSPC) Yahoo SPX total returns (dividends applied but not re-invested)
SPTR ?? VQT  PHDG CBOE(since 1988)
Eoddate (reg required)
SPX total returns with dividends reinvested

 

 

VIX Futures

Ticker Quotes/Charts Used by Historical Data Resources Description
VXST CBOE (e.g, 2VSW/Z4)  select VSW on Futures VXST options CBOE VSW VXST Futures, Options, Index Futures on VXST index
VIX/month-code/last digit of year CBOE (e.g. vix/z4, VX series)
Yahoo (e.g. ^VIXMAY)
BarChart.com
VIX options Volatility Funds CBOE
Google  $SFI
Month Codes
Expiration Calendars
Futures on VIX index

Related posts

 

 

Some other interesting indexes currently not used by volatility funds

Index Quotes/Charts Ratio Historical Data Resources Description
SPVXTRMP / SPVXTRMT Google Finance 60% 2X MT long, 40% -1X ST short FT.com Methodology
ETF.com article
S&P 500  VIX futures Tail Risk ER Mid-Term
SPVXVMP/ SPVXVMT Google Finance 45% 2X MT long, 55% -1X ST short FT.com Methodology
ETF.com article
S&P 500  VIX futures variable long / short mid-term
SPVXVHSP / SPVXVHST Google Finance 10% 2X ST long, 90% -1X ST short FT.com Methodology
ETF.com article
S&P 500  VIX futures volatility hedged Short term
SPVXVHMP / SPVXVHMT Google Finance 30% 2X MT long, 70% -1X ST short FT.com Methodology
ETF.com article
S&P 500  VIX futures Tail Risk Midterm

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Friday, March 10th, 2017 | Vance Harwood
  • rttrader12

    Hi Vance – Thanks for taking the time to compile the lists and sharing your analysis. In reviewing the prospectus for VXX, I found a statement about the index calculation as below:
    “In addition to the transactions described above,
    the weight of each index component is also
    adjusted every day to ensure that the change in
    total dollar exposure for the index is only due to
    the price change of each contract and not due to
    using a different weight for a contract trading at
    a higher price.” The statement was made in the context of explaining how the rolling happens from one futures contract to the next in the S&P 500 VIX short term Futures index.
    I understand the goal of the index is to maintain a constant 1-month exposure, and thus the weights of the 1st and 2nd months are adjusted to hit the target of 1-month. I’m however struggling to understand the additional adjustment referred to in the statement. Any thoughts would be much appreciated. Thanks.

  • Hi rttrader, I discuss this weighting issue in this post http://sixfigureinvesting.com/2015/01/how-does-vxx-daily-roll-work/ The intent of the algorithm is to keep the 1-month exposure constant regardless of the prices of the futures themselves. If the weighting was done in terms of contracts (e.g., half way through the period it would be 50% M1 and 50% M2 contracts), then the time exposure would be shifted if the M1 and M2 prices were different. For example if M1 is at 25 and M2 is at 19 the dollar value would be over weighted on the M1 side.

  • Aleks
  • Hi Aleks, The TVIX prospectus states that the tracking index is SPVXSP and my index calculations verify that. I have not been able to find a good link on the S&P indexes website that leads directly to that index only, so I used the current link. The link I use has the appropriate information to compute the excess returns (ER) index that SPVXSP is a member, but unfortunately titles the overall entry as SPVIXSTR.
    — Vance

  • Gavin Ripley

    Hi Vance, I’m trying to find what the difference between SPVXSP (XIV/TVIX) and SPVXSPID (SVXY/UVXY) is? You have them listed in the same row, so I assume they’re approximately identical?

  • Hi Gavin,
    They have identical values. On some sites the SPVXSPID is shown as SPVXSP.ID , so it’s possible the ID suffix just indicates an intraday index as opposed to the strictly end-of-day NAV index.

    Vance