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 …

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Historical Volatility Rolling Indexes: 2004 — 2014

If your interests are related to the simulation / backtest of volatility exchange-traded products like VXX and XIV, then you should review the products I have listed here.   While the indexes discussed in this post can be used to compute the prices of the volatility ETPs it is not an entirely straightforward process. I have generated both the Excess Return (ER) and Total Returns …

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CBOE Volatility Index (VIX) Futures data 2004 – 2019

The CBOE posts historical volatility futures quotes, but not in a particularly helpful organization. Each expiration month has a separate spreadsheet, which currently adds up to > 100 different spreadsheets from May 2004 to now. Adding to the difficulties, there are four expiration months in the early years that didn’t exist at all that led to a lot of missing data and a reverse split …

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XVZ Backtest from March 2004

I have now backtested Barclays’ XVZ ETN back to when VIX volatility futures first started to trade in March 2004.  I have made two versions of the spreadsheet available for purchase below.  One with results data only and the other version with formulas and required indexes included.  I have included the simulated daily closing values with and without the 0.95% annual fee from March 29, …

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