Products

The following spreadsheets are available for purchase:

• Backtests of Popular Long and Inverse Volatility ETPs (VXX, VIXY, XIV, SVXY, TVIX, UVXY, VXZ, ZIV) 2004—2016
  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, UVXY, TVIX, XIV, SVXY,VXZ, ZIV) including open, high, low, and close data 2004–2013
  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 through 25-Oct-2013.  Click on this link for more information.

• CBOE Volatility Index (VIX) Futures data 2004 – 2017
  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.

• VQT  backtest:  March 2004 through July 2012
  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 the present.  See how it would have behaved through the 2008/2009 crash, the Flash Crash, and other time frames in the last 9 years.   Click on this link for more information. 

•  XVZ backtest:  March 2004 through December 2013
  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.  See how it would have behaved through the 2008/2009 crash, the Flash Crash, and other time frames in the last 9 years.   Click on this link for more information.