Full VIX Futures to ETP Toolkit

Description

This product includes the VIX futures data and formulas to properly format the VIX futures data and to generate the total returns (TR) and excess returns (ER) volatility indexes such as SPVXSTR, SPVXSP, and SPVXMP.   The spreadsheet also includes the required futures and treasury data including sheets that show VIX future open/high/low/close/settlement for all dates as well as open interest and volume.   The spreadsheet currently contains data from March 26th, 2004 up through the most recent quarter (see this table for specific dates). The spreadsheet is configured such that the user can update the spreadsheet to the present date with a straightforward and well-documented process.   This product also includes a separate spreadsheet that takes the various volatility indexes and computes many of the popular volatility exchange-traded fund products (e.g., VXX, 1.5X UVXY, -0.5X SVXY VIXY, VXZ, VIXM, TVIX, XIV, ZIV, 2X UVXY, -1X SVXY, ZIVB) from March 2004 through the most recent quarter.  See this table for specific dates.  The new Volatility Shares SVIX and UVIX have simulated data since December, 30th, 2005.

Given the size and complexity of this package, a reasonable amount of consulting time is bundled in with the price.  For more information contact me at [email protected].

For more information see:

VIX Futures Data plus Volatility Indexes plus Simulated ETP Prices

I offer a quarterly update service for these spreadsheets.