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 11 as of April 9th, 2020
Funds on death watch:
- Barclays’ VQT is set to mature on September 8th, 2020. They have not annouced a replacement. Based on its current asset base of around $10M I suspect Barclays will not issue a replacement.
- Barlcays’s XVZ is set to mature August 11th, 2021. No news of a replacement at this point.
UBS decided to shutdown 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.
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 Tsumami.
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 / 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 | (1-2 month VX) | |||
| EVIX (ETN) | VelocityShares 1X Long VSTOXX Futures ETN | Track short term index derived from VSTOXX futures | ETN Website | Options Available |
| VMAX (ETF) (Discontinued July 2018) | Long VIX Weekly Futures Strategy | Approx 0.6X match to VXX's daily percentage moves. | ETF VolMAXX Website | Active fund. Options available How works |
| VXX 1X short term | iPath 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 | 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) options available No K1 tax reporting |
| 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 VelocityShares | New Lease on LIfe |
| 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 | (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) (Discontinued Nov 2018) | Inverse VIX Weekly Futures Strategy | Daily rebalance to keep leverage at approx. -0.6 VXX % moves. | ETF VolMAXX Website | Active 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 (Discontinued April 2018) | Path Inverse S&P 500 VIX Short | Fixed at inception SPVXSP:IND | ETN Barclays' IVOP Prospectus | |
| XXV(Discontinued April 2018) | iPath Inverse S&P 500 VIX Short | Fixed at inception SPVXSP:IND | ETN Barclays' XXV Prospectus | VXX 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 | iPath S&P 500 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 |
| VIIZ 1X medium term (discontinued) | 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 (discontinued) | 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 VelocityShares | Inverse roll 4,5,6,7 month VX ZIV backtest |
| Hybrid / Strategy | ||||
| BSWN (discontinued 26-Jun-18 | VelocityShares VIX Tail Risk ETN | Daily rebalance Long Bias with reduced decay | ETN VelocityShares BSWN | 45% 2X Long / 55% 1X inverse How does BSWN work? |
| LSVX (discontinued 26-Jun-18) | VelocityShares VIX Variable Long/Short ETN | Daily rebalance Long bias with reduced decay | ETN VelocityShares LSVX | 33% 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 Prospectus | Details on VEQTOR Index Mgmt fee .39% per year Tax reporting: 1099 Options Available |
| TRSK (ETF) (discontinued March 2018) | 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 | ETF VelocityShares ETFs Prospectus Review / backtest | |
| SPXH (ETF) (discontinued March 2018) | 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 | ETF VelocityShares ETFs Prospectus | Review / backtest |
| VQT | 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 |
| XIVH (discontinued 26-Jun-2018) | VelocitySharesVIX Short Volatility Hedged ETN | Daily rebalance Hedged inverse volatility Index Methodology | ETN VelocityShares XIVH | 10% 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 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 |
| Other Volatility Indexes | ||||
| VIX3M | CBOE 3 month volatility (S&P500) | 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 Schwab | VIX 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 | |
Tickers included: , STPP, TVIX, TVIZ, UVXY, SVXY,VIIX, VIX, VIXM, VIXY, VQT (strategy), VX (futures), VXX, VXZ, XIV(short), XOIL (oil), ZIV (short), XVZ, SPVXSTR, SPVXMTR, SPXT, USB3MTA, SPVXTSER, SVXY, PHDG, VMIN,VMIN,EVIX,EXIV,VXXB, VXZB
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.