I gathered all the VIX futures since they started being used on the 26th March 2004 up to now. I used them to calculate the VXX. I also used the data to calculate the contango and backwardation everyday since back then. See the screenshot further below to see how it looks like. I keep on updating the data as more becomes available.
Here you can download the data and use it to make your own graphs like for example a contango / backwardation graph or to calculate the devastating effects of backwardation in periods of high/increasing volatility. You can see the historical behavior of the VXX or use the data to build your own models not only for the VXX but for other volatility ETNs such as the XIV, UVXY etc…
Note that the data was last updated on November 24 2015 14:15:13 (California time), if you want to calculate new VXX values or forecast future ones you need to implement the formula as explained here. It is good that you implement how to calculate the data in order to have a better understanding of the VXX dynamics. The futures data is available from the CBOE site here and you can use it to keep on updating the futures data since I may not update it regularly.
Future VXX forecasts can be done by giving as input VIX futures values. VIX futures market values can be found on the CBOE website. Given those values you may estimate the future VXX price for different dates.
You may have no time or do not wish to implement the pricing formulas, or want future forecasts or the sell signal model. I sell for 35 US$, or the equivalent on any currency accepted by paypal, the same spreadsheet with a data model for historical and future forecasted data (based on public VIX futures data). It includes:
1) Pricing formulas.
2) Forecast future values based on VIX futures values, with random market noise to see different outcomes.
3) Latest data update, and future updates if you don’t manage to do them.
4) Front month VIX futures, contango and backwardation data up to 2004.
5) Shorting model, parameterizable, which gives sell signals.
6) Support on forecasting, selling signals, and VIX futures updates.
Besides the historical and modelling data it has the advantage that you can play with future values or understand exactly how backwardation and contango affect the VXX price. You can also use it to make forecasts of how the VXX will be affected depending on 1st month and 2nd month future prices. It includes VXX price forecasts based on VIX futures data with which you can play with to estimate what the VXX price will be depending on different scenarios. That’s actually why I did it because I could not find anyone who had done a VXX pricing and forecasting model based on VIX futures (like it should). It’s basically the tool I use to guide my trading. (anyone interested in sharing modelling or trading ideas feel free to contact).
The short model gives you selling signals. It is essential in order to support your trading system. You can very easily fine tune the parameters to obtain more or less selling signals. It’s parameters depend on momentum trends (between fast and slow moving averages) for the VIX futures and the contango and backwardation, combined with absolute values for both of them. Basically it gives sell signals if the backwardation is disappearing and losing momentum but the VIX futures (based on a contract weighted average of the 1st and 2nd vix futures) are increasing but are already very high. That simple model gave selling signs on every year since 2008 until 2011. You would have not shorted at the peak but quite close and most importantly: after the VXX peak was reached! I talked just a bit about it in the following post: VXX shorting model (sell signals), but the best is to use it to grasp its power.
You can make the payment via paypal to my email [email protected] or via the button below. Via the paypal payment button, besides allowing you to use paypal, you may also chose cards such as visa, master, american express, discover or maestro. You may pay in dollars or the equivalent amount in the supported currency of your choice. Once paid I will be notified by email and I’ll send you the excel spreadsheet with the latest data and the formulas. I’ll gladly give you e-mail support if you need it. You may request an invoice by email if you specify it before or during the payment process.
Alternatively if you are in Europe you can send a transfer, free among EU members, for the equivalent amount to my European bank account.
Note that if you trade both the XIV and the VXX and are interested in the XIV pricing model I sell both for 50 US dollars, or the equivalent on any currency accepted by paypal. That would be cheaper than buying them separately (the XIV model alone for 25 US$ and the VXX model alone for 35 US$). I have also a model for the UVXY for sale, as well as a SVXY and a TVIX model. The more models you buy the less you pay, for example if you buy all the five models (SVXY+VXX+TVIX+UVXY+XIV) you pay 100 US$, less that the 40+35+40+40+25 = 180 US$ that you would pay by buying them separately.
Here below you can see an image, taken as of the 3rd August 2012, of the downloadable data from the spreadsheet. Be aware though that the image is to give you an idea and that now the spreadsheet has updated data. The scale may also change due to future reverse splits. Modeled, historical, forecasted and real data is available since 2004: 1st VIX and 2nd VIX futures; contango and backwardation; VXX; and the VIX. It is the same information as the spreadsheet that comes with the formulas. I created with it a graph showing the VXX values since 2004 until August 2012 to see the historical behavior of the VXX. You can create other useful graphs such as the evolution of the VIX futures or the contango and backwardation historical graph. Due to the near perfect prediction of the VXX based on VIX futures the VXX market data coincides with the predicted data. For that reason you do not see the calculated VXX green line after the VXX started trading in 2009 (because its under the red line):
As you can see in the graph you can get severely damaged by shorting before a VIX period of high volatility. Due to the increase of the futures value amplified by the backwardation effect on the VXX. On those periods if you are long you could multiply your money by 3 to 5 times, relatively fast if you buy before a crisis as severe as the great recession.
But on the other hand the historical graph shows, that due to contango the VXX is in a downward trend. If you can wait long enough, and if margin calls do not ruin you, you could eventually make money shorting VXX at almost any time. But years eventually are needed if you chose the wrong time to short. If you had shorted in 2006 up until the first half of 2007 you would have needed at least 2 years for the short to work out, so be prepared to wait if you get into it. All that is if history holds, we do not know if it will. So do not short the VXX and blame me if you are ruined even after holding 10 years your short :).
The VXX started to be calculated from the moment when there were VIX futures available in 2004 and in that time the futures were in a persistent and long period of contango up to 2007, that basically eroded most of VXXs value. Also the VIX was at very low levels and even going lower. Therefore since its birth and the following years the VXX went abruptly down. It had some recoveries for the 2008/2009 crisis and in 2007 but it never recovered to the original levels, and I have my serious doubts it will ever because most of the time the VIX futures are in contango and that erodes the VXX value much more than what it regains in the rare but strong periods of backwardation. You can also see the same data by looking at the S&P VIX short-term futures index which is computed exactly like the VXX, therefore it is proportional to the VXX having just a different scale factor.
The long term historical trend of the VXX is down but it can have violent spikes that multiply its value so it’s not as easy to trade it as it initially would seem.
Hope this data is useful and if you find any interesting patterns by analyzing it please do not doubt to let me know !
PD1 -> Additional info
- Note that I also made a XIV pricing model for those who like to trade it.
- The VXX represents a VIX future expiring in one month, an explanation can be found here.
PD2 -> Tips on using the random values and future VIX closing prices to estimate VXX outcomes
You can play with the noise below the yellow cell on column N to have different outcomes of the VXX in the future depending on different levels of market randomness, 2 or 3% noise is Ok.
But you can also leave the market noise at 0 or near 0. What matters more is what you think the VIX futures will be at the end of the month (the red cells).
You can play with the red cells values to see how the VXX price would evolve under different scenarios depending on different VIX futures closing prices. What would be the VXX price at the closing date of the VIX futures ? To answer that question you can then simply put 22 and 24 to see what the VXX would be in such scenario, or whatever value you like.
You can also manually change the VIX future prices (keeping a copy of the original spreadsheet) to see what the VXX will be if the VIX prices go up or down next week or month etc…
PD3 -> Tips on using the shorting model to get sell signals
I only give sell signals (TRUE on column P) if columns U=TRUE, V=TRUE, W=FALSE X=FALSE, Y=TRUE,Z=FALSE
The meaning of each column is in the column header and the model parameters are on the top right side. If you play with the model parameters you can get more or less signals. But the parameters are set so that you only get signals if its really very safe to short (otherwise it could be dangerous).
So basically it means that you can short if U=VIX Futures increasing is TRUE and if X=Cont/Backw increasing is TRUE and if W=High contango is FALSE (so if the contango average in the last days is below 20%) and so on ….
That’s how you should read the short model. So as you see several conditions have to be met to get a sell signal.
But actually you will only get sell signals if you modify the model parameters or if the volatility is quite high and close to or falling. As of now it is parametrized to give sell signals very conservatively while also having highly volatile market conditions.
PD4 -> How is Contango/Backwardation calculated and why does it affect the VXX price ?
Contango or backwardation can be calculated in several ways. Contango by definition means that the VIX futures curve is upward sloping so several ways of measuring it can be used. Since the VXX is calculated from the 1st and 2nd front month VIX futures, contango or backwardation, in that context is calculated as (1-VIX1/VIX2), where VIX1 is the 1st month VIX future and VIX2 the second month one. It is good to keep in mind that the VXX is composed of a number of 1st and 2nd VIX futures. The number of contracts falls during contango times and increases during backwardation. (1-VIX1/VIX2) is a measure of the VXX decay in the case of contango when VIX1 < VIX2 or its anti-decay in the case of backwardation when VIX1 > VIX2. That’s because the VXX is calculated by selling 1st month futures and buying second month ones with the proceeds. When you have contango VIX1 < VIX2 therefore 1-VIX1/VIX2 < 1. Therefore the amount of contracts that make the VXX is diminishing everyday by 100x(1-VIX1/VIX2)/N %, where N is the amount of days between VIX futures expiration dates. That’s because by selling a fixed amount of cheaper 1st month VIX futures you can only buy less than that amount of more expensive 2nd month VIX futures therefore the VXX loses contracts during contango days. So the VXX price tends to constantly fall during those times. Exactly the opposite happens during backwardation times when VIX1 > VIX2. In that case more VIX2 contracts can be bought by selling VIX1 contracts.
PD5 -> Options expiration calendar
PD6 -> Contango headwind/Backwardation tailwind
In order to directly know headwind caused by the rolling of contracts you just need the contango value. I provide the contango/backwardation value for every day since 2004. So for example if the contango is today 10% you can directly estimate the headwind for that day. That’s because since you know that there are, lets say, 22 days between VIX futures expiration dates then 1/22 number of 1st month VIX contracts will be sold to buy 2nd month ones. Therefore the daily headwind is 10%/22. So the VXX loses almost 0.5% points that day just due to contango. That is because of futures rolling where due to contango cheaper 1st month contracts are sold to buy more expensive 2nd month ones.
That changes every day depending on the contango level. So another way to do it could be by calculating the last 22 days average contango. If that’s lets say 5% then you can say that the VXX lost 5% in the previous 22 trading days just due to contango.
The same can be done when there is backwardation, in which case the VXX has a tailwind and grows due to the fact that expensive 1st month contracts are sold to buy cheap 2nd month ones.