Backtests for Popular Long & Short Volatility Exchange Traded Products

I have generated the end of day trading day values for the most  popular long and short volatility Exchange Traded Products (ETPs) for March 26th, 2004 through November 1st, 2018 TVIX    VelocityShares Daily 2x VIX Short-Term ETN +1.5X UVXY  ProShares Ultra VIX Short-Term Futures ETF (includes old 2X simulation) VXX     Barclays S&P 500 VIX Short-Term Futures ETN VXZ     Barclays S&P 500 VIX Mid-Term …

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Options now available on volatility ETNs VIXY & VIXM

ProShares’ competitors to Barclays’ VXX and VXZ now have options available on them. With VIXY’s and VIXM’s average daily volumes of 50K and 10K respectively it seems premature, but I guess if you are going to compete with the market leader you need all the pieces. It will be interesting to see how wide the bid/ask spreads will be on these options. NEW OPTIONS CLASSES …

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And then there were 15

January 4th ProShares plans to offer two new volatility products: VIXY  ProShares VIX Short-Term Futures ETF— a VXX clone VIXM ProShares VIX Mid-Term Futures ETF—a VXZ clone This Morningstar article provides more information.   Right now I don’t see much that these new funds have to recommend themselves over the 13 funds that preceded them.  Their liquidity and spreads will be poor at first, and …

Read moreAnd then there were 15