UVXY O/H/L/C Backtests
UVXY is a 1.5X leveraged long volatility fund offered by ProShares that is based on short-term VIX futures (1st & 2nd month). The current 1.5X leveraged version of UVXY started trading on February 28, 2018. The publically available historical Open/High/Low/ Close data starts from October 2011 but up until February 28th it reflects prices of the previous 2X leveraged version of UVXY. This simulation provides 1.5X UVXY’s simulated open, high, low, and end-of-day closing price from March 2004 through October 2013 based on the underlying VIX futures and after that computed from the actual OHLC values of the 2X leveraged version of UVXY. See this post for more information on how that was done. This spreadsheet also includes the simulated OHLC values for the 2X UVXY product from March 2004 through October 2013.
For more information on this product see:
- Open / High / Low / Close Simulations for Popular Volatility Exchange Traded Products
- 1.5X UVXY & -0.5X SVXY Open/High/Low/Close values: March 2004–March 2018
A less expensive end-of-day only version of this product is also available, see: End-Of-Day Simulations for Popular Volatility Exchange Traded Products
For more information about UVXY see: