How Does VXX’s Daily Roll Work?

All volatility Exchange Traded Products (ETPs) use indexes that track a mix of two or more months of the CBOE’s VIX Futures.  Calculating this mix is not trivial and has resulted in a lot of bleary eyes—including my own.  My intent with this post is to help you understand, and if you desire to accurately compute the key indexes used in VXX and other short …

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Hedging the S&P 500 with Volatility

It’s expensive to buy securities that track volatility.  Their holding costs are so high that your timing has to be exquisite in order to end up with a profit.  However, if you’re hedging a short volatility position, or poised to jump into the general market at a possible transition point a long volatility position might make sense. Consider this chart: Will the S&P 500 bounce …

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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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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 October 18th, 2019 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 …

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Next Estimated VXX Reverse Split—August 11th, 2020

I’m estimating Barclays will reverse split VXX for the 6th time on August 11, 2020, based on the recent decay rates of around 10% per month (when the market is not correcting).  If the market stays quiet then VXX could reverse split as early as March 2020 but I’m expecting a few volatility bumps along the way.  For a security doomed to decrease in value …

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