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 Leverage Description / Time frame Daily activity? / underlying index ETF / ETN
Company website / ProspectusComments / 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 volatilityVIX
Derived from SPX option pricesCBOE / 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 futures ETN Website Options Available
VMAX (ETF) (new) Long VIX Weekly Futures Strategy Goal match VIX % moves better than funds with 30 day average to expiration ETF
VolMAXX WebsiteActive fund.
Options available
How works
VXX / VXXB 1X short term iPath S&P 500 VIX Short-Term Futures
Tracking Index SPVXSTR ETN
Barclays' websiteoptions available. VXX matures in 2019. VXXB is effectively a clone
VIXY (ETF) IX short term ProShares VIX Short-Term Futures Roll futures VIXY ETF
ProShares (VXX clone)
options available
Tax reporting: K-1
VIIX VelocityShares Daily Long VIX Short-Term Roll futures SPVXSP:IND ETN
VelocityShares(VXX clone)
1.5X & 2X Long Volatility (1-2 month VX)
TVIX (ETN) 2X short term VelocityShares Daily 2X VIX Short-Term 2X leverage, Daily rebalance SPVXSP:IND ETN
VelocitySharesNew Lease on LIfe
UVXY (ETF) 1.5X short term ProShares ETF 1.5X leverage, Daily rebalance
SPVXSPID:INDUVXY website / prospectus options available
Tax reporting: K-1
Short Volatility (1-2 month VX)
EXIV (ETN) (new) -1X VelocityShares 1X Daily Inverse VSTOXX Futures ETN Inverse short term index derived from VSTOXX futures. Daily rebalance to reset leverage factor to -1 ETN Website Options Available
VMIN (ETF) (new) Inverse VIX Weekly Futures Strategy Daily rebalance to keep leverage at -1.
Goal match opposite VIX % moves better than funds with 30 day average to expirationETF
VolMAXX WebsiteActive fund.
How works
XIV Terminated! Killed by volatility spike on 5Feb2018 VelocityShares Daily Inverse VIX Short-Term Inverse, Daily rebalance of: SPVXSP:IND ETN
VelocityShares-1x percentage, Termination with -80% daily move
IVOP (not recommended) Path Inverse S&P 500 VIX Short Fixed at inception SPVXSP:IND ETN
Barclays' IVOP Prospectus
XXV (not recommended) iPath Inverse S&P 500 VIX Short Fixed at inception SPVXSP:IND ETN
Barclays' XXV ProspectusVXX short Not Recommended!
SVXY (ETF) -0.5X ProShares ETF SPVXSPID:IND ProShares SVXY website/prospectus options available
Tax reporting: K-1
Long Volatility
(4-5-6-7 month) VX
VXZ / VXZB iPath S&P 500 VIX Mid-Term Futures ETN Roll futures SPVXMTR:IND ETN
* Barclays website
* Prospectus options available. VXZ matures in 2019. VXZB is effectively a clone
VIXM (ETF) ProShares VIX Mid-Term Futures ETF Roll futures SPVXMPID:IND ETF
ProShares (VXZ clone)
options available
VIIZ 1X medium term VelocityShares Daily Long VIX Medium-Term Roll futures SPVXMP:IND ETN
VelocityShares (VXZ clone)
2X Long Volatility (4-5-6-7 month) VX
TVIZ 2X medium term VelocityShares Daily 2X VIX Medium-Term Daily rebalance SPVXMP:IND ETN
VelocityShares
Short Volatility (4-5-6-7 month) VX
ZIV -1X Medium term VelocityShares Daily Inverse VIX Medium-Term Daily rebalance SPVXMP:IND ETN
VelocitySharesInverse roll 4,5,6,7 month VX
ZIV backtest
Hybrid / Strategy
BSWN VelocityShares VIX Tail Risk ETN Daily rebalance Long Bias with reduced decay
Index MethodologyETN
VelocityShares BSWN45% 2X Long / 55% 1X inverse How does BSWN work?
LSVX VelocityShares VIX Variable Long/Short ETN Daily rebalance Long bias with reduced decay
Index MethodologyETN
VelocityShares LSVX33% 2X long 67% 1X inverse How does LSVX work?
PHDG (ETF) PowerShares S&P 500 Downside Hedged Portfolio S&P VEQTOR
(S&P 500 plus a variable VXX component)ETF
PowerShares
ProspectusDetails on VEQTOR Index
Mgmt fee .39% per year
Tax reporting: 1099
Options Available
TRSK (ETF) VelocityShares Tail Risk Hedged Large Cap ETF 85% S&P with 15% vol component. Vol component allocated with S&P 500 VIX
Futures Tail Risk ER Short index SPVXTRSPETF
VelocityShares ETFs
ProspectusReview / backtest
SPXH (ETF) VelocityShares Volatility Hedged Large Cap ETF 85% 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
ProspectusReview / backtest
VQT S&P VEQTOR
(S&P 500 plus a variable VXX component)VQT SPVQDTR ETN
* VQT website
* VQT prospectusA covered call that's long volatility
XIVH ~ -.7X short term VelocitySharesVIX Short Volatility Hedged ETN Daily rebalance Hedged inverse volatility
Index MethodologyETN
VelocityShares XIVH10% 2X Long, 90% 1X inverse How does HIVX work?
XVZ iPath S&P 500 Dynamic VIX
VIX/VXV based short/long 1-2 month, long 4,5,6,7 futuresDynamic 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
Other Volatility Indexes
VIX3M CBOE 3 month volatility (S&P500) VXV CBOE (not investible)
VXAZN CBOE Amazon VIX (AMZN)
VX Volatility Futures (on right) Volatility Futures CFE
VXAPL CBOE Apple VIX (AAPL)
GVZ CBOE Gold VIX (GLD) CBOE Gold Volatilty Micro Site
VXGOG CBOE Google VIX (GOOG)
VXGS CBOE Goldman Sachs VIX (GS)
VXIBM CBOE IBM VIX (IBM)
VXN CBOE Nasdaq 100 Volatility Index
OVX CBOE OIL VIX (USO)
VXSLV CBOE Sliver VIX (SLV)
Volatility Settlement
VRO CBOE,Fidelity,...
^VRO Yahoo
$VRO SchwabVIX settlement value (once per month) VRO
Volatility Related Indexes Some of the ancillary indexes used by volatility ETNs/ETFs
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
US00O/N USD 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
