Backtesting data for volatility ETN and ETF products

Updated: Jul 19th, 2014 | Vance Harwood | @6_Figure_Invest

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

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.

Related Posts

Saturday, July 19th, 2014 | Vance Harwood
  • Yuman

    Is there a way for getting SPVXSTR:IND and SPVXMTR:IND in number series, besides charts? We need the numbers to backtest XIV etc.

  • Vance3h

    Hi Yuman,
    The only free way I know of is to pull the data off the interative bloomberg charts themselves 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

  • vance3h

    Hi Yuman,
    I assume your question relates to data older than Jan 30, 2009. Newer than that you can use VXX data.

    — Vance

  • I now offer spreadsheets with the rolling index values. See Historical Volatility Rolling Indexes: 2004 — 2011 for more information.