Using the CBOE’s VIX futures historic data and interpolations/extrapolations for contracts that were not traded I developed a continuous time series for 7 months of VIX futures settlement values. I then used that data, plus treasury bill data to compute the indexes that underly the popular long and short volatility ETPs in the USA.
This spreadsheet includes the formulas to properly format the VIX futures data and to generate the total returns (TR) and excess returns (ER) volatility indexes such as SPVXSTR, SPVXSP, and SPVXMP. The spreadsheet also includes the required futures and treasury data up through March 6, 2018. The spreadsheet is setup such that the user can bring the spreadsheet up to the present date in a straightforward and well-documented process. If you purchase this product I will also send you a spreadsheet via email that takes the various volatility indexes and computes many of the popular volatility exchange traded fund products (e.g., VXX, 1.5X UVXY, TVIX, XIV, -0.5X SVXY,ZIV, 2X UVXY, -1X SVXY) starting in March 2004.
If you purchase the spreadsheet you will be eventually be directed to paypal where you can pay via your paypal account or a credit card. When you successfully complete the paypal portion you will be shown a ”Return to Six Figure Investing” link. Click on this link to reach the page where can download the spreadsheet. Please email me at [email protected] if you have problems, questions, or requests.
- VIX Future and volatility index computation
- Product Options
# Option Price Download File Size 1 Full Spreadsheet $400.00 SFI VIX Futures history and index computation--full spreadsheet 6Mar18 14.94MB
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Your credit card statement will show the following description on this transaction: "PAYPAL*VH2SOLUTION". After you have paid look for a "Return to Six Figure Investing" link. This will take you to a page where you can download the product.
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Wednesday, March 7th, 2018 | Vance Harwood