S&P 500 VIX Short-Term Futures Index is the VXX

The following index is defined by :

The S&P 500 VIX Futures Index Series measures the return from a daily rolling long position in the VIX futures contracts traded on the CBOE. The short-term index is comprised of the first and second contract months and the mid-term index is comprised of the fourth through seventh contract months.

Its by definition exactly the same as the VXX etf. Actually I calculated the VXX prices and compared them to the index and the correspond exactly, the difference being just a proportionality factor.

So great that index is exactly the VXX in a different scale, good to know I calculated it right, so it is indeed constructed by selling 1st month and buying 2nd month and maintaining a daily 1 month average future price.

Now we know how to calculate that index which is the VXX and we also have the proof its correct and the exact underlying data that generated it to provide us with insight.

Here we can see, as calculated by the CBOE, how the VXX behaves on percentual terms by just making a graph of the S&P 500 VIX Short-Term Futures Index and we can also compare it in the same graph with the S&P. Not only is it clear how violently, and fast can the S&P futures spike, therefore also the VXX since it moves in the same proportion, but you can also see that during the great recession it spike significantly before the market bottom:

Soon we will even have more data and its VXX calculated values, since I am processing futures data up to mid 2004 (there is not more data than that, I think VIX futures were not traded on the CBOE or at all before that date).

Cheers!
jrv

PD: Thanks Orgasmic_Jihad for telling me about that index!

About jrv

I was born in Spain and lived in Belgium, Chile, France, USA, Argentina among other places. Currently I am trying to settle down in a wild place. I am "retired", even though now I dedicate more hours "working" for my investments than I ever worked in the real labor market where I used to work in IT and Banking. I am a family man, I have a lovely wife, several sons and one step daughter. I have humble tastes, I like to stay home and read about companies and investments. I started investing at 25 before the internet bubble exploded. I did not know much about investing and liked technical analysis so my results were pretty bad. Fortunately I did not have much to lose. Some years later in 2006 bored of doing only real state investments and with quite a lot of money saved I opened an account in a cheap and excellent online broker and started again. This time I did not want to commit the same mistake, so I decided to follow a model. I heard that Warren Buffett was the best at making money via stocks so I started by reading a lot about him, all of his shareholders letters and several of the books that he recommended. I learned a lot, started applying his investing principles and reading a lot of 10K's. Digested news from lots of different sources. Basically I started buying very good and cheap companies and holding them for ever if possible and if nothing changed fundamentally. When the housing crisis started I was more than 75% cash. At that time I identified good companies at incredibly cheap prices so I invested most of my savings in stocks. In less than I year I doubled. By the second semester of 2009 I turned my software company into an investment vehicle and dedicated myself full time to it. My wife and I decided to change our lifestyle and moved from Belgium to the beach in a wild country. The goal was to keep fixed costs low in order to be able to live with a minimum 6-8% yearly return but specially to move away from the inhuman life of civilization and to have finally some peace and sunny weather to concentrate better on investing. Now I can think and study about companies 60 hours a week and I am doing great. I can finally do what I want full time and can proudly say that I have never been so happy, specially also with my just born 4th son, my other great kids and my sweet wife who supports me fully while I study most of the day and patiently wait for the opportunity to make a swing ! You can learn a bit more about my portfolio by viewing it at www.kuchita.com/view/sumo.php or you may learn more about me and my family by following the link "Author's site" from the menu above.
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4 Responses to S&P 500 VIX Short-Term Futures Index is the VXX

  1. Mike Stout says:

    Hi jrv,

    It’s Jermaine from the VXX board. Just following up with you about Brazil possibilities.

    I have lost 70% of my money on this spike in VXX. Very painful especially considering I was back to about -50% yesterday and stupidly held the short 34 and 36 calls I had which exploded today.

    Anyway… is it really possible to support oneself teaching English where you live? I’m mid 30s, single, still have enough money to get down there and maybe live for a few months but that’s about it. Reasonable to live there on 1K a month or no? Any advice would be much appreciated. I definitely need a change of scenery as things are generally not working right now. Many thanks.

  2. jrv says:

    Hi Mike, here is my reply:

    Living in Brazil giving English lessons

    Cheers!
    jrv

  3. Pingback: Living in Brazil giving English lessons | The Intelligent Investor Blog

  4. Pingback: VXX data and price model since VIX futures available (2004) | The Intelligent Investor Blog

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