My count of volatility US-based ETPs trading on national exchanges is at 8 as of March 30th, 2022.
New Additions:
- A new player in the volality ETP space, Volatility Shares, introduced two new ETFs, the -1X leveraged short term SVIX and the 2X leveraged UVIX on March 30th, 2022. These funds use two new Cboe indexes, SHORTVOL and LONGVOL which use time-weighted averages of VIX futures starting 15 minutes before their daily close to reduce their sensitivity to the end-of-day dynamics of the settlement prices for VIX futures.
Recent Product Shutdowns
- Barclays’ VQT matured on September 8th, 2020. They have not announced a replacement. PowerShares $PHDG is an ETF equivalent. It currently has over $100 million in assets.
- Barclays’s XVZ matured August 11th, 2021. No news of a replacement at this point. It performed nicely in March 2020, more than doubling and holding on to most of its gains, but I think this happened too late in its lifecycle to rejuvenate it.
- Credit Suisse halted creations on TVIX, VIIX, and ZIV effective the 2nd of July 2020 and delisted them from the national exchanges. Somewhat surprisingly Credit Suisse did not terminate the funds, which would have cashed out the current shareholders. Instead, the funds have moved to over-the-counter trading. This move provided some excitement with a sister ETN, DGAZ which received the same delisting treatment. Later in 2020, DGAZ decoupled from its IV price, rising to 100x (!) over its IV price $12400 vs $124. Credit Suisse ended the fun by accelerating the fund, terminating it at its IV value, presumably resulting in heavy losses for those that hadn’t cashed out. For more see this tweet.
| 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 Share Creations currently halted! VIXY is better choice VXX IV Yahoo | iPath Series B S&P 500 VIX Short-Term Futures | Tracking Index SPVXSTR | ETN Barclays’ website | Has 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 |
| 1.5X & 2X Long Volatility | Short Term (1-2 month VIX futures) | |||
| UVIX (ETF) 2X short term UVIX.lV Cboe | Volatility Shares | 2 X leverage, Daily rebalance Index: LONGVOL | ETF UVIX website | How Works Options available Tax reporting: K-1 |
| 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) | |||
| SVIX (ETF) -1.0X | Volatility Shares ETF | -1.0X leverage, Daily rebalance Index: SHORTVOL | ETF SVIX website | How works Options available Tax reporting: K-1 |
| 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 Share Creations currently halted! VIXM is better choice | 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) | |||
| 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 |
| XVZ (ETN) Scheduled maturity/redemptions on Aug 11, 2021. No replacement announced. | 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) | |||
Hey Vance,
Any idea what symbols can be plugged into Google Finance in order to pull up the VIX futures curve? The following tickers work for spot price and (I think) some delayed symbols, but I can’t seem to build a curve like vixcentral. Thanks!
=GOOGLEFINANCE(“INDEXCBOE:VIX”) <- vix spot
=GOOGLEFINANCE("INDEXCBOE:SPVIXST") <-vxx index
=GOOGLEFINANCE("INDEXCBOE:TWLV1") <- m1 vix future.. I think.. but doesn't seem right. Thanks
The current secret code is “VIXMAR”, “VIXAPR”, etc. VIX followed by the 3 character month label. The soonest to expire and the next 3 months usually work, the ones after that are iffy. Currently August is working but not jun or jul.
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.