Volatility Tickers

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 is at 12 as of April 12th, 2020

Funds on death watch:

  • 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.

Recent Product Shutdowns

  • 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.
  • REX ETF shutdown VMIN  on November 26th, 2018
  • Credit Suisse announced that two of its medium-term ETNs, 1X long VIIZ, and 2X long TVIZ will be shut down effective August 15, 2018
  • REX ETF shutdown VMAX  on July 24th, 2018
  • UBS delisted XIVH, LSVX, and BSWN in June 2018
  • In April 2018 Barclays shutdown XXV and IVOP.  These were non-resetting short volatility funds that had not done much for years.
  • In March 2018, VelocityShares shut down SPXH and TRSK.
  • In February 2018 there was one subtraction with the unexpected and dramatic termination of VelocityShares’ XIV due to the violent moves on February 5th, 2018.  For more on this see What caused the February 5th, 2018 Volatility Tsunami
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 TermVelocityShares Daily Long VIX Short-TermTracking Index SPVXSP
Roll VIX futures
ETN
VelocityShares
(VXX clone)
options available
No K1 tax reporting
1.5X & 2X Long VolatilityShort Term (1-2 month VIX futures)
TVIX (ETN) 2X short termVelocityShares 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 termVelocityShares 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)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)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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