Volatility ETP O/H/L/C Backtests
I have generated the end of day trading day values for the most popular long and short volatility Exchange Traded Products (ETPs) starting in March 26th, 2004 from the VIX futures historical data that underlies these funds. In addition to the currently trading products: VXX, VXZ, 1.5X UVXY, -0.5X SVXY, and VIXY this dataset also includes simulations for these discontinued or releveraged funds: XIV, -1X SVXY, 2X UVXY, TVIX, ZIV).
None of the volatility ETPs started trading before January 2009, so there is no market price data available before that (e.g., during the 2008 market crash). This simulation includes ETP simulated open, high, low, and end-of-day closing prices from March 2004 through October 2013 and includes publicly available OHLC data through July 17th,2020. The VXX publicly available OHLC data has been corrected to better handle the inclusion of VXXB data. The VXZ data has been corrected also but it has a gap in 2018 data.
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
A less expensive end-of-day version of this product is also available, see: End-Of-Day Simulations for Popular Volatility Exchange Traded Products
I offer a quarterly update service for this spreadsheet.