My count of volatility US-based ETPs trading on national exchanges is at 9 as of July 16th, 2020.
Funds on deathwatch:
- 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. 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.
Recent Product Shutdowns
- 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, which as of mid-July 2020 is working well, with prices trading close to their theoretical IV prices.
- 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.
| 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 Delisted by Credit Suisse effective July 2020. Trading over the counter as VIIXF. | VelocityShares Daily Long VIX Short-Term | Tracking Index SPVXSP Roll VIX futures | ETN VelocityShares | No K1 tax reporting |
| 1.5X & 2X Long Volatility | Short Term (1-2 month VIX futures) | |||
| TVIX (ETN) 2X short term Delisted by Credit Suisse effective July 2020. Trading over the counter as TVIXF. | 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 Delisted by Credit Suisse effective July 2020. Trading over the counter as ZIVZF. | 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) Scheduled maturity/redemptions on Sept 8th, 2020. No replacement announced. | 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) 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) | |||
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.