Volatility Related Indexes and Tickers

Unless you have access to a Bloomberg terminal or something similar finding quotes and historical data for volatility indexes can be an adventure.  Below I’ve assembled links to the online resources that I’ve been able to find.  Links marked with a “$SFI” are historical data sets that I offer for sale—they don’t match the official indexes exactly, but they are very close. In many cases, …

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When a Hurricane Messes with a Volatility Index

In 2010 I set out to prove that I understood the indexes that underlie the volatility Exchange Traded Products (ETPs).  I developed a spreadsheet that uses the CBOE’s historical VIX Futures data to produce the short term (1 to 2 month) and medium term (4th through 7th month) rolling volatility indexes. The heart of these indexes is the daily roll of VIX futures contracts.  At …

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Historical Volatility Rolling Indexes: 2004 — 2014

If your interests are related to the simulation / backtest of volatility exchange-traded products like VXX and XIV, then you should review the products I have listed here.   While the indexes discussed in this post can be used to compute the prices of the volatility ETPs it is not an entirely straightforward process. I have generated both the Excess Return (ER) and Total Returns …

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Backtesting data for volatility ETN and ETF products

If you want to backtest various volatility products like VXX, VXZ, XIV, CVOL, IVOP  (see volatility tickers for my complete list) I offer a set of spreadsheets that give the underlying rolling index values from March 2004.  See this post for details. Bloomberg offers charts that go back 5 years for the related indexes.   My thanks to “~” from Volatility Futures and Options for …

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