Full VIX Futures to ETP Toolkit
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. The spreadsheet current contains data from March 26th, 2004 up through the most recent quarter (see this table for specific dates). The spreadsheet is etup 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, TVIX, XIV, -0.5X SVXY, ZIV, 2X UVXY, -1X SVXY, VIXY) from March 2004 through the most recent quarter. See this table for specific dates.
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.