VIXY O/H/L/C Backtest



VIXY is a volatility fund offered by ProShares that is based on short-term VIX futures (1st & 2nd month).   VIXY started trading in January 201 so there is no market price data available before that (e.g., during the 2008/2009 market crash).  This simulation includes VIXY’s simulated open, high, low, and end-of-day closing price from March 2004 through October 2013 and end-of-day closing values up through October 2018.

For more information on this product see:   Open / High / Low /  Close Simulations for Popular Volatility Exchange Traded Products

A less expensive end-of-day version of this product is also available, see: End-Of-Day Simulations for Popular Volatility Exchange Traded Products

VIXY is quite similar to Barclays’ VXX/VXXB products.  The main difference being that VIXY is an Exchange Traded Fund vs VXX/VXXB Exchange Traded Note construction. The posts below are specific to VXX/VXXB but most of the information will be the same for VIXY:


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