Volatility Related Indexes and Tickers

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

IndexQuotes/ChartsUsed by:(not exhaustive)Historical DataResourcesDescription
SPVXSTR / SPVIXSTR    MasterDataVXXBarcays3 (since Jan 09)
$SFI (Mar 04-Feb12)
MethodologyShort Term Volatility Total Returns1
SPVXSP /SPVXSPID
FT.com ($)
(includes OHLC)
Yahoo
Investing.com (includes OHLC)
4PM ETdata? 
TVIX
VIXY
SVYX
UVYX
Investing.com
MethodologyShort Term Volatility Excess Returns2
SPVXMTRFT.comVXZBarclays3 (since Jan 09)
$SFI (since Mar 04)
MethodologyMid Term Volatility Total Returns1
SPVXMPMarketWatch
FT.com
Yahoo
ZIV
VIXM
FT.com
MarketWatch
(single dates)
$SFI (since Mar 04)
MethodologyMid Term Volatility Excess Returns2

Notes

  1. 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.
  2. “Excess Returns” (ER) in this context indicates that the calculation does not include dividends or interest.
  3. Barclays data includes some non-USA trading days, the values are carried over from the previous trading day

Related Posts

Hedged style volatility fund indexes 

IndexQuotes/ChartsUsed byHistorical DataResourcesDescription
SPVQDTR/ SPVQDTIDBigCharts
FT.com
VQT
PHDG
FT.com
$SFI  (since Mar 04)
Barclays  (VQT IV only)
MethodologyS&P 500® Dynamic VEQTOR Index TR
SPVQDERBigCharts
FT.com
Used within VQT /PHDG calcsFT.comMethodologyS&P 500® Dynamic VEQTOR Index ER
SPVQSERYahoo
FT.com
VQTSFT.comMethodologyS&P 500® VEQTOR Switch Index ER
SPVQSTRGoogleVQTSGoogle

FT.com

S&P 500® VEQTOR Switch Index TR
SPVXVSPGoogle
FT.com
SPXHFT.comMethodology
33% 2X ST
66% -1X ST
White Paper
VelocityShrs
Prospectus
Volatility Hedged Large Cap Index
SPVXTRSPGoogle
FT.com
TRSKFT.comMethodology
45% 2X ST
55% -1X ST
White Paper
VelocityShrs
Prospectus
Tail Risk Hedged Large Cap Index
SPDVIXTR??XVZBarclays3
$SFI  (since Mar 04)
MethodologyS&P 500 Dynamic VIXFutures Index
VXTHCBOEVIXHMethodology
White Paper
CBOE VIX Tail Hedge Index

Related Posts

VIX style Indexes and Settlement quotes  Relevant Cboe website of indexes computed with VIX style methodology

IndexQuotes/ChartsUsed byHistorical DataResourcesDescription
VIX9DYahoo ^VIX9D
Google Finance
CBOE (since Jan-2011)
Ft.com
Measure of 9 day IV of (SPX) Index options.
VIX®Yahoo ^VIX
Google INDEXCBOE:VIX
VIX options & futures VQT
PHDG
XVZ
CBOE (since Jan1990)White Paper
Near real-time  calc graph
Measure of 30 day IV of (SPX) Index options
VIXMOGoogle Finance
indexcboe: VIXMO
FT.com
Calc the VIXMO—the easy PartVIX index previous to Oct 6, 2014
Measure of 30 day IV of (SPX) Index options using SPX monthly options
VIX3M (VXV)Yahoo ^VIX3MXVZCBOE (since Dec 2007)
Yahoo

Investing.com

Measure of 3-month IV of (SPX) Index options.
VIX6MGoogle Finance
indexcboe: VIX6M
CBOE (since Jan 2008)

Measure of 6-month IV of (SPX) Index options.
VIX1YGoogle Finance
indexcboe: VIX1Y
Measure of 1-year IV of (SPX) Index options.
SVROYahoo ^SVROVXST options & futures (not trading)CBOESettlement processExercise-settlement value for VXST options & futures
VROYahoo ^VROVIX options /&futuresCBOESettlement processExercise-settlement value for VIX options  & futures
VVIXSMYahoo ^VVIXCBOE historical VVIX  -since Jan 07CBOE (since March 06)  VVIX Term StructureWhite PaperVIX methodology applied to VIX options (VIX of VIX)

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VIX Style Calculation Indexes  (used by CBOE to compute VXST, VIX, VIXMO, VIX3M, VXMT)

IndexQuotes/ChartsUsed byHistorical DataResourcesDescription
VSTNCboeVXSTCBOE Near-term VXST Index
VSTFCboeVXSTCBOE Far-term VXST Index
VINCboeVIXWhite PaperCBOE Near-term VIX Index
VIFCboeVIXWhite PaperCBOE Far-term VIX Index
VINMOCboeVIXMOCBOE Near-term VIX monthly only
VIFMOCboeVIXMOCBOE Far-term VIX monthly only
VIX(#) CBOEVIX calc on SPX option series using midpoint pricesCBOE (since 2010)CBOE per month VIX calculations
VWB CBOEVIX cacl using SPX bid pricesCBOE (since Oct 2017)CBOE per month VIX calculations
VWA CBOEVIX calc using SPX ask pricesCBOE (since Oct 2017)CBOE per month VIX calculations

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.

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Support Indexes

IndexQuotes/ChartsUsed byHistorical DataResourcesDescription
13Wk T Bills  Yahoo ^IRXVXX  VXZUS Treas
SFI
Conversion13wk US Treasury bills
LiborFREDVQT  PHDGFRED
SPX Yahoo (^GSPC)YahooSPX total returns (dividends applied but not re-invested)
SPTR/SPXT/^SP500TR (Yahoo)??VQT  PHDGCBOE(since 1988 until June 2018)
Eoddate (reg required)

Yahoo (slight difference 4pm?)

SPX total returns with dividends reinvested

VIX Futures

Ticker Quotes/ChartsUsed byHistorical DataResourcesDescription
VXSTCBOE (e.g, 2VSW/Z4)  select VSW on Futures  (not trading)CBOE VSWVXST Futures, Options, IndexFutures on VXST index  (discontinued)
VIX/month-code/last digit of yearCBOE (e.g. vix/z4, VX series)
Yahoo (e.g. ^VIXMAY)
BarChart.com
VIX options Volatility FundsCBOE ’04-Jun ’18

CBOE ’13-Present
Google  $SFI

Month Codes
Expiration Calendars

CFTC report on short/long positions

Futures on VIX index

Related posts

Some other interesting indexes currently not used by volatility funds

IndexQuotes/ChartsRatioHistorical DataResourcesDescription
SPVXTRMP / SPVXTRMTGoogle Finance60% 2X MT long, 40% -1X ST shortFT.comMethodology
ETF.com article
S&P 500  VIX futures Tail Risk ER Mid-Term
SPVXVMP/ SPVXVMTGoogle Finance45% 2X MT long, 55% -1X ST shortFT.comMethodology
ETF.com article
S&P 500  VIX futures variable long / short mid-term
SPVXVHSP / SPVXVHSTGoogle Finance10% 2X ST long, 90% -1X ST shortFT.comMethodology
ETF.com article
S&P 500  VIX futures volatility hedged Short term
SPVXVHMP / SPVXVHMTGoogle Finance30% 2X MT long, 70% -1X ST shortFT.comMethodology
ETF.com article
S&P 500  VIX futures Tail Risk Midterm

First posted on

6 thoughts on “Volatility Related Indexes and Tickers”

  1. 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

    • 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

  2. 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.

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