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The following services are available for purchase:
- Volatility ETP Price Projection Service
This service calculates future volatility Exchange Traded Product (ETP) prices for the next 70 trading days assuming the current VIX futures term structure is stable. It also projects the 1 sigma high and low price ranges over that same period using the historical volatility and trends of the last 40 trading days.
The following spreadsheets are available for purchase (click the links below to get descriptions and ordering information)
- VIX3M & VIX6M Index Style Calculations Back to 1990
These spreadsheets use SPX option and USA treasury data together with the Cboe’s 93-Day VIX style calculation methodology to generate values back to January 2nd, 1990. - Backtests of Popular Long and Inverse Volatility ETPs (VXX, VIXY, XIV, SVXY, TVIX, UVXY, VXZ, ZIV) 2004 – Recent (see products for latest update)
This family of spreadsheets uses the CBOE’s historical per month VIX futures data and historical treasury bill yields to synthesize the closing values of these popular ETNs and ETFs starting in March 2004. The annual fees for these funds are also included in the calculation. Click on this link for more information. For a backtest on VXX see Backtest of VXX Including Yearly Fees. - Backtests of Popular Short Term Long and Inverse Volatility ETPs (VXX, VIXY, 1.5X UVXY, TVIX, XIV, -0.5X SVXY, VXZ, ZIV) including open, high, low, and close data 2004—Recent (see products for latest update) Also XIV, 2X UVXY & -1X SVXY 2004—2018)
This spreadsheet uses the CBOE’s historical per month VIX futures data and historical treasury bill yields to synthesize the open, high, low, and closing values of these popular ETNs and ETFs starting in March 2004. Click on this link for more information.
- CBOE Volatility Index (VIX) Futures data 2004 – Recent (see product for latest update)
This spreadsheet uses the CBOE’s historical per month VIX futures data, starting in March 2004 to create a single uniform data set for the first through the seventh-month futures closing values for any given trading date. By bringing in the latest data you can update this spreadsheet to the current date. Click on this link for more information. - VIX Futures, ETP indexes (e.g. SPVXSTR & SPVXSP), and simulated ETP prices
This product includes two spreadsheets, one that assembles historic VIX futures values from March 2004 and computes the indexes that the most popular volatility Exchange Traded Products use (e.g, VXX, SVXY, UVXY, VXX, TVIX, ZIV). The other spreadsheet takes the index values and adds the ETP fees to simulate the Indicative Values (IV) for popular ETPs from 2004 until May 2020. Both of these spreadsheets include the full data sets and required formulas.
- VQT backtest
Typically 97.5% of VQT is invested in the S&P 500, but during volatile times it will dramatically increase its allocations into short term volatility futures. It is designed to give the investor gains during volatility spikes while tracking the general market during quiet periods. This spreadsheet provides the full algorithms and daily simulated values for VQT from the beginnings of VIX future trading in March 2004 to 2019. Click on this link for more information. - XVZ backtest
XVZ is one of the most interesting volatility ETNs on the market. It dynamically switches between short and medium-term volatility futures, even going short on short-term volatility at times in order to give the investor gains during volatility spikes while protecting their investment during quiet periods. This spreadsheet provides the full algorithms and daily simulated values for XVZ from the beginnings of VIX future trading in March 2004 to the present. Click on this link for more information.
