Unless you have access to a Bloomberg terminal or something similar finding quotes and historical data for volatility indexes can be an adventure. Below I’ve assembled links to the online resources that I’ve been able to find. Links marked with a “$SFI” are historical data sets that I offer for sale—they don’t match the official indexes exactly, but they are very close.
In many cases, data is available from multiple sources. I did not attempt to list all of them.
If you are looking for symbols/tickers for volatility exchange-traded products then you should go to this post where I list information on all USA traded volatility style funds (there are around 17). Simulated histories for some of these funds back to 2004 are available here.
Historical data from different sources can differ—often because they use different closing times. Sites like Yahoo and Google Finance use standard NYSE hours, but the CBOE’s hours are different (close is 4:15 ET) and open times vary. For example with the advent of near 24-hour trading on VIX futures, the open time for VIX futures for Tuesday through Friday is 4:30PM the previous day and Sunday at 5 PM is the opening time for Monday. When used for computing other indexes (e.g., when VIX is used in computing the index used by VQT), the CBOE data should be used.
If you have an account with Fidelity’s Active Trader Pro you can get historical intra-day data for many volatility tickers by exporting data from their charts. Schwab’s StreetSmart Edge allows export of watch list information, including option Greeks.
Standard long volatility indexes
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Notes
- The term “Total Returns” (TR) denotes that dividends/interest is included in the index. For example, for SPTR it would be the dividends from the underlying 500 stocks in the S&P 500. In the case of SPVXSTR, it would be interest from 13-week treasury bills.
- “Excess Returns” (ER) in this context indicates that the calculation does not include dividends or interest.
- Barclays data includes some non-USA trading days, the values are carried over from the previous trading day
Related Posts
- When a Hurricane Messes with a Volatility Index
- The Cost of contango—It’s Not the Daily Roll
- All USA volatility funds
Hedged style volatility fund indexes
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Related Posts
VIX style Indexes and Settlement quotes Relevant Cboe website of indexes computed with VIX style methodology
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Related Posts
- Volatility Watcher’s Toolkit
- Managing inverse volatility with the VIX/VIX3M ratio
- Graphical VIX / VIXMO calculation (dynamic)
- Mid-term volatility
VIX Style Calculation Indexes (used by CBOE to compute VXST, VIX, VIXMO, VIX3M, VXMT)
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Notes:
The CBOE changed its VIX calculation on 21-Oct-14 to use weekly options bracketing the 30-day VIX target expectation. Before that the VIN/VIF values reflect the old calculation that only used monthly SPX option series.
Related Posts
- Vol watchers toolkit
- Computing the VIX—the easy part
- Calculating VIXMO—the easy part
- Near Real Time Graphical Calculation of VIX and VIXMO
Support Indexes
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VIX Futures
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Related posts
- VIX futures—Crystal Ball or insurance policy
- VXST futures, options, indexes
- Option expiration calendars
Some other interesting indexes currently not used by volatility funds
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Hi Vance, I’m trying to find what the difference between SPVXSP (XIV/TVIX) and SPVXSPID (SVXY/UVXY) is? You have them listed in the same row, so I assume they’re approximately identical?
Hi Gavin,
They have identical values. On some sites the SPVXSPID is shown as SPVXSP.ID , so it’s possible the ID suffix just indicates an intraday index as opposed to the strictly end-of-day NAV index.
Vance
TVIX is based on SPVIXSTR (Same as VXX)
http://us.spindices.com/additional-reports/related-products/?indexId=11000451&sourceIdentifier=index-data-widget&parentIdentifier=index-data-widget
You yourself state the same in this post
https://sixfigureinvesting.com/2015/10/how-does-tvix-work/
Hi Aleks, The TVIX prospectus states that the tracking index is SPVXSP and my index calculations verify that. I have not been able to find a good link on the S&P indexes website that leads directly to that index only, so I used the current link. The link I use has the appropriate information to compute the excess returns (ER) index that SPVXSP is a member, but unfortunately titles the overall entry as SPVIXSTR.
— Vance
Hi Vance – Thanks for taking the time to compile the lists and sharing your analysis. In reviewing the prospectus for VXX, I found a statement about the index calculation as below:
“In addition to the transactions described above,
the weight of each index component is also
adjusted every day to ensure that the change in
total dollar exposure for the index is only due to
the price change of each contract and not due to
using a different weight for a contract trading at
a higher price.” The statement was made in the context of explaining how the rolling happens from one futures contract to the next in the S&P 500 VIX short term Futures index.
I understand the goal of the index is to maintain a constant 1-month exposure, and thus the weights of the 1st and 2nd months are adjusted to hit the target of 1-month. I’m however struggling to understand the additional adjustment referred to in the statement. Any thoughts would be much appreciated. Thanks.
Hi rttrader, I discuss this weighting issue in this post http://sixfigureinvesting.com/2015/01/how-does-vxx-daily-roll-work/ The intent of the algorithm is to keep the 1-month exposure constant regardless of the prices of the futures themselves. If the weighting was done in terms of contracts (e.g., half way through the period it would be 50% M1 and 50% M2 contracts), then the time exposure would be shifted if the M1 and M2 prices were different. For example if M1 is at 25 and M2 is at 19 the dollar value would be over weighted on the M1 side.