Simulating Volatility ETP Open and Intraday High / Low Values

Previously I’ve done simulations, based on VIX futures, of volatility Exchange Traded Products (ETPs) back to 2004.  In these simulations, I only generated the closing values, but since then I’ve had requests for open/high / low (OHL) values.  I’ve extended my backtests to generate ETP opening and intraday highs and lows for many of the short and medium term volatility funds—specifically VXX, VIXY, TVIX, UVXY, …

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Backtest of VXX Volatility ETN From 2004 Including Yearly Fees

Volatility based Exchange Traded Funds and Notes (ETF / ETN) have only been on the market for a few years (see volatility tickers for the full list of USA based funds).  The oldest one, Barclays’ VXX only started trading in late January 2009.   Because of their relative youth, we don’t have actual trade data on how they would have performed through critical periods—for example, …

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