In 2010 I set out to prove that I understood the indexes that underlie the volatility Exchange Traded Products (ETPs). I developed a spreadsheet that uses the CBOE’s historical VIX Futures data to produce the short term (1 to 2 month) and medium term (4th through 7th month) rolling volatility indexes. The heart of these indexes is the daily roll of VIX futures contracts. At …
There are lots of valid ways to look at the market. Obviously, price is important, but a number alone (e.g., 1487.85—the Feb 25, 2013, S&P 500 close) doesn’t mean much. Price related metrics like percentage changes and support/resistance levels add value, but adding time as a factor enables some really interesting measures like moving averages and momentum trackers. My favorite time-related metric is term structure—how the …
Exchange Traded Funds (ETFs) look a lot like stocks because they trade during the day, can be sold short, and have options and they look a lot like mutual funds because they aren’t tied to a single company. The items are important things to know. There’s more to ETF cost than the annual fee If you aren’t planning to just buy and hold your ETF investment …
For several years I’ve periodically tried—and failed to find quotes for the CBOE’s VIX® index on Google Finance. It seemed absurd, but I expected the king of search would pull up one of the more popular indexes if they had it. It turns out that I needed to go to the 11th entry on the 2nd page of search results to find the ticker: INDEXCBOE:VIX Once …
A while back I developed a consolidated spreadsheet to organize historic VIX futures data from the CBOE into a single spreadsheet. Using this spreadsheet I calculate the short (SPVXSTR) and medium term (SPVXMTR) rolling indexes that underlie the various volatility Exchange Traded Products (ETP) like VXX, UVXY, XIV, and ZIV The image below shows a small sample comparing my calculations (M1-M2 Short Term Rolling Index) with the official …
