VXX O/H/L/C Backtest
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 shows VXX’s simulated open, high, low, and end-of-day closing price from March 2004 through October 2013 and end-of-day closing values up through the end of the most recent quarter. See this table for specific dates. The product also includes a sheet “VXX-Web” that includes the once publicly available O/H/L/C trade data for VXX that goes back to its inception in 2009, prior to the VXX –> VXXB –> VXX transitions when the original VXX note matured.
For more information on this product including comparisons to actual trade data see: Open / High / Low / Close Simulations for Popular Volatility Exchange Traded Products
A less expensive end-of-day version of this product that is also available, see: End-Of-Day Simulations for Popular Volatility Exchange Traded Products
For more information about VXX see: