Computing Volatility Indexes With VIX Futures

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 Exchange Traded Products (ETPs) in the USA.

This product includes two spreadsheets, one that 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 other spreadsheet included with the product uses those volatility indexes to simulate the prices of popular volatility  ETPs (e.g., VXX, 1.5X UVXY, TVIX, XIV, -0.5X SVXY, ZIV, 2X UVXY, -1X SVXY) starting in March 2004.

The VIX Futures spreadsheet includes the required futures and treasury data up through January, 2019.  The spreadsheet is setup such that the user can bring the spreadsheet up to the present date in a straightforward and well-documented process.

The default presentation is to compile the settlement prices but the spreadsheet is configurable to generate daily open, high, low, close, volume, open interest and EFP (Exchange For Physical) numbers.

The spreadsheet also generates the monthly settlement prices for VIX futures contracts back to 2004.

If you purchase this product you will be directed to paypal where you can pay via your paypal account or a credit card.  Please email me at [email protected] if you have problems, questions, or requests.


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