Downloads
I have made the following spreadsheets available for purchase:
- CBOE Volatility Index (VIX) Futures data 2004 – 2011
The CBOE posts daily VIX Futures data back to 2004 on their website, but in the form of an individual spreadsheet for each expiration month (e.g., November 2004). There are over 95 different spreadsheets now, which is pretty unwieldy if you are trying to analyze more than a few months worth of data. I created a master spreadsheet that pulls in the data from the per month spreadsheets to create a single uniform data set to work with for the first through the seventh month futures for any given trading date starting in March 2004. Click on the link above for more information.
- Volatility Rolling Indexes: 2004—2012
Currently all volatility exchange traded products (e.g,, VXX, XIV, TVIX), utilize rolling volatility indexes in their construction. The rolling indexes implement a daily adjustment in their portfolio of volatility futures in order to provide a constant target maturity. Available indexes include the short term indexes with one month through 4 month maturity and the medium term index with a 5 month maturity. Click on the link above for more information.
- XVZ backtest: March 2004 through February 2012
XVZ, introduced by Barclays in August 2011 is one of the most interesting volatility ETNs on the market. It is always long medium term volatility, but it uses a dynamic allocation approach that changes its short term and medium term volatility allocations depending on the relationship between VIX and VXV—CBOE’s one and three month implied volatility indexes. When VIX futures short term futures are in heavy contango XVZ takes an inverse short term volatility position, which tends to mitigate the heavy losses that most long volatility funds (e.g., VXX) experience in those periods of time. This backtest gives an idea of how XVZ 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.
