If you want to backtest various volatility products like VXX, VXZ, XIV, CVOL, IVOP (see volatility tickers for my complete list) I offer a set of spreadsheets that give the underlying rolling index values from March 2004. See this post for details.
Bloomberg offers charts that go back 5 years for the related indexes. My thanks to “~” from Volatility Futures and Options for pointing this out.
Some Bloomberg symbols:
| VIX:IND (free) | VIX cash Index |
| SPVXSTR:IND (not free) | S&P 500 VIX Short-Term Futures Index TR (End of Day) |
| SPVXMTR:IND (not free) | S&P 500 VIX Mid-Term Futures Index TR (End of Day) |
| SPXT:IND (not free) | S&P 500 Total Returns index (includes dividends) |
| USB3MTA:IND free | 3 Month Treasure Bill Yield |
| SPVXTSER:IND free | XVIX index |
Barclays’ offers a spreadsheet with the equivalent of SPVXSTR from January 2009 on the the VXX section of their website.
Barclays’ offers a spreadsheet with the equivalent of SPVXMTR from January 2009 on the the VXZ section of their website.
I now offer spreadsheets with the rolling index values. See Historical Volatility Rolling Indexes: 2004 — 2011 for more information.
Is there a way for getting SPVXSTR:IND and SPVXMTR:IND in number series, besides charts? We need the numbers to backtest XIV etc.
Hi Yuman,
The only free way I know of is to pull the data off the interative bloomberg charts themselves http://www.bloomberg.com/apps/quote?ticker=SPVXSTR:IND#chart On the 5 year graph it looks like data from every 2 days is available. It would be painful to manually record the data, but probably would be only be a couple hours of really boring work…
— Vance
Hi Yuman,
I assume your question relates to data older than Jan 30, 2009. Newer than that you can use VXX data.
— Vance