Backtesting data for volatility ETN and ETF products

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.


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