Volatility Tickers

Updated: May 12th, 2017 | 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 May 2017 with 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.

In May 2016  REX ETFs added VolMAXX’s  VMIN and VMAX funds

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

Ticker/QuotesDescription / 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
VXXiPath S&P 500 VIX Short-Term Futures
Tracking Index SPVXSTRETN
Barclays' website		options available
VIXY (ETF)ProShares 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)
2X Long Volatility(1-2 month VX)
TVIXVelocityShares Daily 2X VIX Short-Term2X leverage, Daily rebalance SPVXSP:INDETN
VelocityShares		New Lease on LIfe
UVXY (ETF)ProShares ETF2X leverage, Daily rebalance
SPVXSPID:IND		UVXY website / prospectusoptions available
Tax reporting: K-1
Short Volatility(1-2 month VX)
EXIV (ETN) (new)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
XIVVelocityShares 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)ProShares ETFSPVXSPID:INDProShares SVXY website/prospectusoptions available
Tax reporting: K-1
Long Volatility
(4-5-6-7 month) VX
VXZiPath S&P 500 VIX Mid-Term Futures ETN Roll futures SPVXMTR:INDETN
* Barclays website
* Prospectus 		options available
VIXM (ETF)ProShares VIX Mid-Term Futures ETFRoll futures SPVXMPID:INDETF
ProShares		 (VXZ clone)
options available
VIIZVelocityShares Daily Long VIX Medium-TermRoll futures SPVXMP:INDETN
VelocityShares		 (VXZ clone)
2X Long Volatility(4-5-6-7 month) VX
TVIZVelocityShares Daily 2X VIX Medium-TermDaily rebalance SPVXMP:INDETN
VelocityShares
Short Volatility (4-5-6-7 month) VX
ZIVVelocityShares Daily Inverse VIX Medium-TermDaily rebalance SPVXMP:INDETN
VelocityShares		Inverse roll 4,5,6,7 month VX
ZIV backtest
Hybrid / Strategy
BSWN (new)VelocityShares 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 (new)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
VIXH (ETF)

(Inception Aug 2012)		First Trust CBOE S&P 500 Tail Hedge ETFS&P 500 w/ reinvested div + VIX calls in times of high volatility. Monthly rebalance
CBOE Tail Risk Index
VXTH:IND		ETF
* First Trust VIXH website
* Prospectus		Mgmt fee .6% per year--steep considering that at least 99% of the portfolio will always be in the S&P 500.
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 (new)VelocitySharesVIX 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
VXVCBOE 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



Friday, May 12th, 2017 | Vance Harwood
  • James

    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

  • James

    Thanks, Vance.

  • rttrader12

    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.


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