Volatility Tickers

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 LeverageDescription / 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 investibleTVIX/UVXY–closest to a direct VIX investment
Long VolatilityShort Term (1-2 month VIX futures)
VXX 1X short termiPath Series B S&P 500 VIX Short-Term FuturesTracking Index SPVXSTRETN
Barclays’ website
options available.
There are slight differences from the original VXX
VIXY (ETF) IX short termProShares VIX Short-Term FuturesTracking 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-TermTracking Index SPVXSP
Roll VIX futures
ETN
VelocityShares

No K1 tax reporting
1.5X & 2X Long VolatilityShort 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-Term2X leverage, Daily rebalance SPVXSP:INDETN
VelocityShares
UVXY (ETF) 1.5X short termProShares ETF1.5X leverage, Daily rebalance
SPVXSPID:IND
UVXY website / prospectusoptions available
Tax reporting: K-1
Short VolatilityShort Term (1-2 month VIX futures)
SVXY (ETF) -0.5XProShares ETFSPVXSPID:INDProShares SVXY website/prospectusoptions available
Tax reporting: K-1
Long VolatilityMedium Term (4-5-6-7 month VIX futures)
VXZ (ETN) 1XiPath S&P 500 Series B VIX Mid-Term Futures ETNRoll futures SPVXMTR:IND
ETN
* Barclays website
* Prospectus
Options available. There are slight difference to the original VXZ
VIXM (ETF)ProShares VIX Mid-Term Futures ETFRoll futures SPVXMPID:INDETF
ProShares
VXZ clone)
options available
Short VolatilityMedium 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-TermDaily rebalance SPVXMP:INDETN
VelocityShares
Inverse roll 4,5,6,7 month VX
ZIV backtest
Hybrid / Strategy
PHDG (ETF)Invesco S&P 500 Downside Hedged PortfolioS&P VEQTOR
(S&P 500 plus a variable VXX component)
ETFDetails 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 SPVQDTRETN
* 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 SPDVIXTRETN
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 settlementVRO
VIX Style Volatility on SPX
VIX9D, VIX3M, VIX6M, VIX1YVIX Methodology with different time horizonsSPXSee Volatility Related Indexes and Tickers
Other Useful Indexes
SPXTS&P 500 Total Returns index (includes dividends)SPXT:IND
USB3MTA:IND3 Month Treasure Bill YieldUSB3MTA:IND
Treasury Website — data and spreadsheet download
VIX Style Volatility on Commodities//Stocks/Indexes
VXNCboe Nasdaq 100 Volatility Index
TYVIXCboe 10-year US Treasuries
VXAZNCboe Amazon VIX (AMZN)
VXAPLCboe Apple VIX (AAPL)
GVZ
Cboe Gold VIX (GLD)
VXGOGCboe Google VIX (GOOG)
VXGSCboe Goldman Sachs VIX (GS)
VXIBMCboe IBM VIX (IBM)
OVXCboe OIL VIX (USO)
VXSLV
Cboe Sliver VIX (SLV)


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7 thoughts on “Volatility Tickers”

  1. 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.

    Reply

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