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 is at 12 as of April 12th, 2020
Funds on death watch:
- Barclays’ VQT is set to mature on September 8th, 2020. They have not announced a replacement. Based on its current asset base of around $10M I suspect Barclays will not issue a replacement.
- Barclays’s XVZ is set to mature August 11th, 2021. No news of a replacement at this point.
Recent Product Shutdowns
- UBS decided to shut down their EVIX & EXIV long / inverse volatility funds that are based on the European VSTOXX volatility futures effective April 9, 2020.
- On May 2nd, 2019 Barclays renamed VXXB and VXZB to VXX and VXZ respectively. Although these products are very similar to the original VXX and VXZ they are not identical. See Goodbye VXX hello VXXB for details.
- On May 2nd, 2019 Barclays renamed VXXB and VXZB to VXX and VXZ respectively. Although these products are very similar to the original VXX and VXZ they are not identical. See Goodbye VXX hello VXXB for details.
- REX ETF shutdown VMIN on November 26th, 2018
- Credit Suisse announced that two of its medium-term ETNs, 1X long VIIZ, and 2X long TVIZ will be shut down effective August 15, 2018
- REX ETF shutdown VMAX on July 24th, 2018
- UBS delisted XIVH, LSVX, and BSWN in June 2018
- In April 2018 Barclays shutdown XXV and IVOP. These were non-resetting short volatility funds that had not done much for years.
- In March 2018, VelocityShares shut down SPXH and TRSK.
- In February 2018 there was one subtraction with the unexpected and dramatic termination of VelocityShares’ XIV due to the violent moves on February 5th, 2018. For more on this see What caused the February 5th, 2018 Volatility Tsunami
| Ticker/Quotes Leverage | Description / Time frame | Daily activity? / underlying index | ETF / 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 | Short Term (1-2 month VIX futures) | |||
| VXX 1X short term | iPath Series B S&P 500 VIX Short-Term Futures | Tracking Index SPVXSTR | ETN Barclays’ website | options available. There are slight differences from the original VXX |
| VIXY (ETF) IX short term | ProShares VIX Short-Term Futures | Tracking Index SPVXSP Roll VIX futures | ETF ProShares | (VXX clone) options available Tax reporting: K-1 |
| VIIX Short Term | VelocityShares Daily Long VIX Short-Term | Tracking Index SPVXSP Roll VIX futures | ETN VelocityShares | (VXX clone) options available No K1 tax reporting |
| 1.5X & 2X Long Volatility | Short Term (1-2 month VIX futures) | |||
| TVIX (ETN) 2X short term | VelocityShares Daily 2X VIX Short-Term | 2X leverage, Daily rebalance SPVXSP:IND | ETN VelocityShares | |
| UVXY (ETF) 1.5X short term | ProShares ETF | 1.5X leverage, Daily rebalance SPVXSPID:IND | UVXY website / prospectus | options available Tax reporting: K-1 |
| Short Volatility | Short Term (1-2 month VIX futures) | |||
| SVXY (ETF) -0.5X | ProShares ETF | SPVXSPID:IND | ProShares SVXY website/prospectus | options available Tax reporting: K-1 |
| Long Volatility | Medium Term (4-5-6-7 month VIX futures) | |||
| VXZ (ETN) 1X | iPath S&P 500 Series B VIX Mid-Term Futures ETN | Roll futures SPVXMTR:IND | ETN * Barclays website * Prospectus | Options available. There are slight difference to the original VXZ |
| VIXM (ETF) | ProShares VIX Mid-Term Futures ETF | Roll futures SPVXMPID:IND | ETF ProShares | VXZ clone) options available |
| Short Volatility | Medium Term (4-5-6-7 month VIX futures) | |||
| ZIV -1X Medium term | VelocityShares Daily Inverse VIX Medium-Term | Daily rebalance SPVXMP:IND | ETN VelocityShares | Inverse roll 4,5,6,7 month VX ZIV backtest |
| Hybrid / Strategy | ||||
| PHDG (ETF) | Invesco S&P 500 Downside Hedged Portfolio | S&P VEQTOR (S&P 500 plus a variable VXX component) | ETF | Details on VEQTOR Index Mgmt fee .39% per year Tax reporting: 1099 Options Available |
| VQT (ETN) | S&P VEQTOR (S&P 500 plus a variable VXX component) | VQT SPVQDTR | ETN * VQT website * VQT prospectus | A covered call that’s long volatility |
| XVZ (ETN) | iPath 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 SPDVIXTR | ETN XVZ Website XVZ prospectus | *Backtest to 2004 *Under the hood *Hedging High Yield Bonds |
| Volatility Settlement | ||||
| VRO CBOE,Fidelity,… ^VRO Yahoo $VRO Schwab | Weekly VIX options/futures settlement | VRO | ||
| VIX Style Volatility on SPX | ||||
| VIX9D, VIX3M, VIX6M, VIX1Y | VIX Methodology with different time horizons | SPX | See Volatility Related Indexes and Tickers | |
| Other Useful Indexes | ||||
| SPXT | S&P 500 Total Returns index (includes dividends) | SPXT:IND | ||
| USB3MTA:IND | 3 Month Treasure Bill Yield | USB3MTA:IND | Treasury Website — data and spreadsheet download | |
| VIX Style Volatility on Commodities//Stocks/Indexes | ||||
| VXN | Cboe Nasdaq 100 Volatility Index | |||
| TYVIX | Cboe 10-year US Treasuries | |||
| VXAZN | Cboe Amazon VIX (AMZN) | |||
| VXAPL | Cboe Apple VIX (AAPL) | |||
| GVZ | Cboe Gold VIX (GLD) | |||
| VXGOG | Cboe Google VIX (GOOG) | |||
| VXGS | Cboe Goldman Sachs VIX (GS) | |||
| VXIBM | Cboe IBM VIX (IBM) | |||
| OVX | Cboe OIL VIX (USO) | |||
| VXSLV | Cboe Sliver VIX (SLV) | |||
Hello Vance,
Thanks for compiling the above list – it’s a great reference. Do you know of any similar exchange traded products that are based on volatility in the European or Asian markets? Also, any volatility ETP’s for the bond market that you may be aware of?
Regards.
HI rttrader12, I believe there are at least some vol based ETPs in Europe based on the VSTOXX index. I’m not aware of any USA ETPs for bond volatility. The CBOE does offer futures on 10yr bond volatility (TYVIX), but it appears to be a non-starter product with no volume / open interest.
Would these help diversify a SVXY holding?
Yes, they would provide some diversification. The USA and European markets aren’t in total lockstep.
Vance, how does one evaluate the tracking accuracy of all of the VIX products?
Hi James, The best tool I’m aware of is ETF.com’s reports on various ETFs. They typically provide a graph of tracking plus average and worst case tracking errors in the statistics Here is an example: http://www.etf.com/TVIX
Thanks, Vance.