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 (1.5X & 2X), …
