VXX Backtest

$29.00

 

 

 

 

 

 

 

 

 

 

 

Description

VXX is a long volatility fund offered by Barclays that is based on short-term VIX futures (1st & 2nd month).  VXX started trading in January 2009 so there is no market price data available before that (e.g., during the 2008/2009 market crash).  This simulation provides VXX’s simulated end-of-day closing prices from March 2004 through October 10th, 2019.

VXX’s history is a bit convoluted because the original VXX was specified to terminate in 2019, ten years after its inception in 2009. Barclays managed the transition of this popular product by creating a very similar product, initially with the ticker VXXB, that traded in parallel with VXX for about a year and then became Barclays’s short term product when VXX terminated.   Anxious to recover the well known VXX ticker, Barclays only waited a few months after VXX’s termination before it renamed VXXB as VXX.  For more on these transitions including the few small differences between the old and new VXX see this post:  Goodbye VXXB, We Hardly Knew Ye

For more information on this product see: End-Of-Day Simulations for Popular Volatility Exchange Traded Products

I also offer a VXX simulation that provides open/high/low prices in addition to end-of-day prices from March 2004 through October 2013, for more on that product see:  Open / High / Low /  Close Simulations for Popular Volatility Exchange Traded Products

The historic VXX open-high-low-close trade data that Yahoo Finance currently provides on their website doesn’t start until 2018—when VXXB started.  I had saved the old VXX data and I have combined it with the new VXXB/VXX data to create a single spreadsheet.  You can find it here (free):   Yahoo VXX trade data.

For more information about VXX see:


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