Downloads

The following spreadsheets are available for purchase:

• CBOE Volatility Index (VIX) Futures data 2004 – 2012
  This spreadsheet uses the CBOE’s historical per month VIX futures data, starting in March 2004 to create a single uniform data set for the first through the seventh month futures closing values for any given trading date.   By bringing in the latest data you can update this spreadsheet to the current date.  Click on the link for more data.

• Volatility Rolling Indexes: 2004—2012
  This family of indexes underlie all of the available volatility exchange traded products (e.g,, VXX, XIV, TVIX).   These indexes all adjust their futures holdings daily to provide a dollar weighted constant target maturity.  These spreadsheets provide the index values back to the beginning of VIX futures trading in March 2004.   Target maturities of  one month through 4 month maturity and the medium term index with a 5 month maturity are available.  Click on the link above for more information.

• XVZ backtest:  March 2004 through February 2012
  XVZ  is one of the most interesting volatility ETNs on the market.  It dynamically switches  between short and medium term volatility futures, even going short on short term volatility at times in order to give the investor gains during volatility spikes while protecting their investment during quiet periods.   This spreadsheet provides the full algorithms  and  daily simulated values for XVZ from the beginnings of VIX future trading in March 2004 to the present.  See how it would have behaved through the 2008/2009 crash, the Flash Crash, and other time frames in the last 9 years.   Click on the link above for more information.

• VQT  backtest:  March 2004 through February 2012
  Typically 97.5% of VQT is invested in the S&P 500, but during volatile times it will dramatically increases its allocations into short term volatility futures.  It is designed to give the investor gains during volatility spikes while tracking the general market during quiet periods.   This spreadsheet provides the full algorithms  and  daily simulated values for VQT from the beginnings of VIX future trading in March 2004 to the present.  See how it would have behaved through the 2008/2009 crash, the Flash Crash, and other time frames in the last 9 years.   Click on the link above for more information.