Volatility Tickers


Updated: Feb 19th, 2018 | Vance Harwood | @6_Figure_Invest

I have collected what I believe is all the active tradable volatility ETNs / ETFs in the US markets together in this list.  For my opinion on these see Volatility Funds Categorized and Ranked.

My count of volatility US based ETPs increased to 27 in February 2018 with two new funds VXXB & VXZB added by Barlcays to replace VXX & VXZ which will mature in January 2019 and one subtraction with the unexpected and dramatic termination of VelocityShares’ XIV due to the violent moves on February 5th, 2018.

In August 2017 with First Trust retired the VIXH ticker and converting the renamed fund (DWPP) to a different, non-volatility based strategy

In May 2017 VelocityShares addition of EXIV and EVIX to their roster of volatility funds.  These last two additions provide easy access for USA investors to the world of European volatility, specifically the EURO STOXX 50 Volatility index (VSTOXX) and its associated futures.

You can expand the table, or search for a specific ticker if you don’t see the one you want.

Ticker/Quotes LeverageDescription / Time frameDaily activity? / underlying indexETF / ETN
Company website / Prospectus
Comments / Posts
^VIX (Yahoo)
$VIX (Schwab)
VIX (Fidelity)
VIX:IND (Bloomberg)
.VIX (Reuters)
INDEXCBOE:VIX (Google FInance)
CBOE Volatility Index®
Model free est. of SPX 30 day volatility
VIX
Derived from SPX option prices
CBOE / Not investible
TVIX/UVXY--closest to a direct VIX investment
Long Volatility(1-2 month VX)
EVIX (ETN) (new)VelocityShares 1X Long VSTOXX Futures ETN Track short term index derived from VSTOXX futuresETN WebsiteOptions Available
VMAX (ETF) (new) Long VIX Weekly Futures StrategyGoal match VIX % moves better than funds with 30 day average to expirationETF
VolMAXX Website
Active fund.
Options available
How works
VXX / VXXB 1X short termiPath S&P 500 VIX Short-Term Futures
Tracking Index SPVXSTRETN
Barclays' website
options available. VXX matures in 2019. VXXB is effectively a clone
VIXY (ETF) IX short termProShares VIX Short-Term FuturesRoll futures VIXYETF
ProShares
(VXX clone)
options available
Tax reporting: K-1
VIIXVelocityShares Daily Long VIX Short-TermRoll futures SPVXSP:INDETN
VelocityShares
(VXX clone)
1.5X & 2X Long Volatility(1-2 month VX)
TVIX (ETN) 2X short termVelocityShares Daily 2X VIX Short-Term2X leverage, Daily rebalance SPVXSP:INDETN
VelocityShares
New Lease on LIfe
UVXY (ETF) 1.5X short termProShares ETF1.5X leverage, Daily rebalance
SPVXSPID:IND
UVXY website / prospectusoptions available
Tax reporting: K-1
Short Volatility(1-2 month VX)
EXIV (ETN) (new) -1X VelocityShares 1X Daily Inverse VSTOXX Futures ETNInverse short term index derived from VSTOXX futures. Daily rebalance to reset leverage factor to -1ETN WebsiteOptions Available
VMIN (ETF) (new)Inverse VIX Weekly Futures StrategyDaily rebalance to keep leverage at -1.
Goal match opposite VIX % moves better than funds with 30 day average to expiration
ETF
VolMAXX Website
Active fund.
How works
XIV Terminated! Killed by volatility spike on 5Feb2018VelocityShares Daily Inverse VIX Short-TermInverse, Daily rebalance of: SPVXSP:INDETN
VelocityShares
-1x percentage, Termination with -80% daily move
IVOP (not recommended)Path Inverse S&P 500 VIX Short Fixed at inception SPVXSP:INDETN
Barclays' IVOP Prospectus
XXV (not recommended)iPath Inverse S&P 500 VIX Short Fixed at inception SPVXSP:INDETN
Barclays' XXV Prospectus
VXX short Not Recommended!
SVXY (ETF) -0.5X ProShares ETFSPVXSPID:INDProShares SVXY website/prospectusoptions available
Tax reporting: K-1
Long Volatility
(4-5-6-7 month) VX
VXZ / VXZBiPath S&P 500 VIX Mid-Term Futures ETN Roll futures SPVXMTR:INDETN
* Barclays website
* Prospectus
options available. VXZ matures in 2019. VXZB is effectively a clone
VIXM (ETF)ProShares VIX Mid-Term Futures ETFRoll futures SPVXMPID:INDETF
ProShares
(VXZ clone)
options available
VIIZ 1X medium termVelocityShares Daily Long VIX Medium-TermRoll futures SPVXMP:INDETN
VelocityShares
(VXZ clone)
2X Long Volatility(4-5-6-7 month) VX
TVIZ 2X medium termVelocityShares Daily 2X VIX Medium-TermDaily rebalance SPVXMP:INDETN
VelocityShares
Short Volatility (4-5-6-7 month) VX
ZIV -1X Medium termVelocityShares Daily Inverse VIX Medium-TermDaily rebalance SPVXMP:INDETN
VelocityShares
Inverse roll 4,5,6,7 month VX
ZIV backtest
Hybrid / Strategy
BSWNVelocityShares VIX Tail Risk ETNDaily rebalance Long Bias with reduced decay
Index Methodology
ETN
VelocityShares BSWN
45% 2X Long / 55% 1X inverse How does BSWN work?
LSVX VelocityShares VIX Variable Long/Short ETNDaily rebalance Long bias with reduced decay
Index Methodology
ETN
VelocityShares LSVX
33% 2X long 67% 1X inverse How does LSVX work?
PHDG (ETF)PowerShares S&P 500 Downside Hedged PortfolioS&P VEQTOR
(S&P 500 plus a variable VXX component)
ETF
PowerShares
Prospectus
Details on VEQTOR Index
Mgmt fee .39% per year
Tax reporting: 1099
Options Available
TRSK (ETF)VelocityShares Tail Risk Hedged Large Cap ETF85% S&P with 15% vol component. Vol component allocated with S&P 500 VIX
Futures Tail Risk ER Short index SPVXTRSP
ETF
VelocityShares ETFs

Prospectus
Review / backtest
SPXH (ETF)VelocityShares Volatility Hedged Large Cap ETF85% S&P with 15% vol component. Vol component allocated with S&P 500 VIX Futures Variable Long/Short ER Short Term" SPVXVSP"ETF
VelocityShares ETFs
Prospectus
Review / backtest
VQTS&P VEQTOR
(S&P 500 plus a variable VXX component)
VQT SPVQDTRETN
* VQT website
* VQT prospectus
A covered call that's long volatility
XIVH ~ -.7X short termVelocitySharesVIX Short Volatility Hedged ETNDaily rebalance Hedged inverse volatility
Index Methodology
ETN
VelocityShares XIVH
10% 2X Long, 90% 1X inverse How does HIVX work?
XVZiPath S&P 500 Dynamic VIX
VIX/VXV based short/long 1-2 month, long 4,5,6,7 futures
Dynamic mix of short/long short term futures combined with long medium term SPDVIXTRETN
XVZ Website
XVZ prospectus
*Backtest to 2004
*Under the hood
*Hedging High Yield Bonds
Other Volatility Indexes
VIX3MCBOE 3 month volatility (S&P500) VXV CBOE (not investible)
VXAZNCBOE Amazon VIX (AMZN)
VX Volatility Futures (on right) Volatility FuturesCFE
VXAPLCBOE Apple VIX (AAPL)
GVZCBOE Gold VIX (GLD)CBOE Gold Volatilty Micro Site
VXGOGCBOE Google VIX (GOOG)
VXGSCBOE Goldman Sachs VIX (GS)
VXIBMCBOE IBM VIX (IBM)
VXNCBOE Nasdaq 100 Volatility Index
OVXCBOE OIL VIX (USO)
VXSLVCBOE Sliver VIX (SLV)
Volatility Settlement
VRO CBOE,Fidelity,...
^VRO Yahoo
$VRO Schwab
VIX settlement value (once per month) VRO
Volatility Related IndexesSome of the ancillary indexes used by volatility ETNs/ETFs
SPXTS&P 500 Total Returns index (includes dividends)SPXT:IND
USB3MTA:IND 3 Month Treasure Bill YieldUSB3MTA:INDTreasury Website -- data and spreadsheet download
US00O/NUSD Overnight London Interbank Offerred Rate

Tickers included: CVOL, IVO (short), STPP, TVIX, TVIZ, UVXY, SVXY,VIIX, VIIZ, VIX, VIXM, VIXY, VQT(strategy), VX (futures),  VXX, VXZ, XIV(short), XOIL (oil), XVIX (strategy), XXV (short), ZIV (short), XVZ, SPVXSTR, SPVXMTR, SPXT, USB3MTA, SPVXTSER, SVXY, VIXH, PHDG, VQTS, VXUP, VXDN,VMIN,VMAX,BSWN,LSVX,XIVH,VMIN,VMAX,EVIX,EXIV,VXXB, VXZB



Monday, February 19th, 2018 | Vance Harwood