How Does VXX’s Daily Roll Work?

All volatility Exchange Traded Products (ETPs) use indexes that track a mix of two or more months of the CBOE’s VIX Futures.  Calculating this mix is not trivial and has resulted in a lot of bleary eyes—including my own.  My intent with this post is to help you understand, and if you desire to accurately compute the key indexes used in VXX and other short …

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Simulating Volatility ETP Open and Intraday High / Low Values

Previously I’ve done simulations, based on VIX futures, of volatility Exchange Traded Products (ETPs) back to 2004.  In these simulations, I only generated the closing values, but since then I’ve had requests for open/high/low (OHL) values.  I’ve extended my backtests to generate ETP opening and intraday highs and lows for many of the short and medium-term volatility funds—specifically VXX, VIXY, TVIX, UVXY (1.5X & 2X), …

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Backtests for Popular Long & Short Volatility Exchange Traded Products

I have generated the end of day trading day values for the most  popular long and short volatility Exchange Traded Products (ETPs) for March 26th, 2004 through the end of the most recent quarter.  See this table for specifics. +1.5X UVXY  ProShares Ultra VIX Short-Term Futures ETF (includes old 2X simulation) VXX     Barclays S&P 500 VIX Short-Term Futures ETN VXZ     Barclays S&P …

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When You Think Your Exchange Traded Fund is Broken…

Frequently I see people complaining that their Exchange Traded Fund (ETF) or Exchange Traded Note (ETN) is broken. Occasionally they’re right, but most of the time they’re not.  Before complaining, here are some things to look at: Are you looking at the right index? All Exchange Traded Products (ETPs) track an index, which is identified in their prospectus, and in the fund’s fact sheet.   Don’t …

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Six Things to Consider with Exchange Traded Funds

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 …

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