VXX historical data and pricing model since VIX futures are available (2004)

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 September 17 2014 04:36:44 (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 future values. You may use future VIX market values which can be found on the CBOE website on the right side in this page. Given those values you may build and estimate of the future VXX price behavior.

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 mode 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.


Pricing Model



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 !

Cheers!
jrv

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

It is handy to have use an options expiration calendar in order to make future forecasts. You can find here the one from 2012 and here the one from 2013.

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.

Cheers!
jrv

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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38 Responses to VXX historical data and pricing model since VIX futures are available (2004)

  1. Pingback: VIX vs VXX historical graph | The Intelligent Investor Blog

  2. Pingback: VIX contango – backwardation historical graph | The Intelligent Investor Blog

  3. Pingback: Contango/Backwardation VIX Graph | The Intelligent Investor Blog

  4. Pingback: XIV graph and data since VIX futures available (2004) | The Intelligent Investor Blog

  5. Pingback: How to calculate the VXX price and how does backwardation and contango influence it | The Intelligent Investor Blog

  6. Pingback: When should the VXX be shorted ? | The Intelligent Investor Blog

  7. Pingback: How to calculate the effects of backwardation | The Intelligent Investor Blog

  8. Anonymous says:

    It would be interesting to see an historical simulation of TVIX, the 2x levered ETN, as well. It’s decay, and pops, should be incredible.

  9. Louis-Phil says:

    Great blog! Very interesting stuff… I wish I would have read it before!
    I am trying to understand by replicating your spreadsheet.
    cheers
    Louis

  10. Ragu Vijaykumar says:

    Hi! Loved your blog, and I thought I would take a crack at your spreadsheet. I wanted to try to do this from scratch by downloading the historical data and seeing if I could make a sheet of the first two months of data. I noticed some irregularities in the data, and noticed that your sheet may suffer from the same problem.

    The CBOE historical data is very incomplete for many dates. There are places where the values you list in month 1 and month 2 for dates are actually not month 1 and 2, but rather some other spread of months, like month 1 and 3. For example, 8/16/2005 is a date where there is no M2 month data, so the 2nd month data in my sheet (and your sheet) is actually M3 data. Feel free to contact me if you have questions about this.

  11. jrv says:

    Hi Ragu, I am aware of that problem, I used the two front end months, if one of the first months was missing in the CBOE site, I took the next.

    Cheers!
    jrv

  12. jrv says:

    This is what I wrote to one of my readers and pricing model buyers in reply to what I thought about the current volatility market and the historical high contango (I post t here because it might be helpful to others):

    Hi Michael,

    Here I send you the file, you find instructions on how to keep it updated on the 2nd spreadsheet tab, do not doubt to ask if you have doubts.

    Contango has been high because the 2nd vix future is much higher than the 1st month vix future, mainly because the volatility fell very fast and the 1st future followed but not the second yet, so the market thinks in the long term that volatility could spike, but if it doesn’t spike fast the 2nd future could fall and the contango become smaller and at the same time causing the vxx to fall more.

    So I think that the only way to make money is with the volatility to spike soon, otherwise if it stays contango will make the vxx fall a bit every day and a lot in the long run, and if the volatility falls more then the vxx will have a double fall due to contango and the futures falling.

    So honestly I think the only way you can make money is if the volatility has a spike soon, by that I mean in at most 2 weeks, otherwise contango could make the vxx fall another 10% in that period.

    If volatility traders do really believe that recovery is coming a long position has no chances and you should get out soon. If on the other hand there is a scare in the coming days the vxx could spike and you should take the chance to get out. If you are very confident that a big scare will come then of course you can make a fortune but for that you need a big market scare. If volatility stays as it is then you can be sure that vxx will relentlessly go down. So it all depends on what you think regarding how scared or confident the market is about the recovery.

    If contango narrows because the 2nd future falls then the vxx will fall even more, if it narrows because the 1st future goes up then the vxx will go up. What matters is the average 30day vix price, that’s what dictates the vxx price mostly. So it all depends on what you think again, contango will go down probably yes but it depends how, if it’s the 1st future going up and approaching the 2nd one then the vxx will go up, in the other case it will go down.

    I personally, as you maybe know, am short, since long ago, but I am about to sell because the risk is high that the vxx will go up. On the other hand I would not bet on that either, so at current levels I am basically neutral and I would stay out, or at most I would short but just a small position or I would be long only if and really only if I thought a scare would come soon. Otherwise Id stay out of it.

    Hope I could be helpful !
    Good luck!
    jrv

  13. Nick Iversen says:

    But when you used two front end months that were further away than normal due to a missing month you didn’t use the correct number of days. You used, say, 16 days when the data was actually for 16+30 days.

  14. jrv says:

    Thanks for pointing that out Nick, I updated it.

    It affected 3 months on 2005 and 1 of 2004. For 2004-2005 the model remains basically the same except that the vxx decay is slightly slower.

    The model was not affected for the other years.

    Cheers!
    jrv

  15. Max says:

    Hi jrv, thanks (as ever) for sharing these comments. In the past months I have been shorting vxx with monthly limited risk positions. I was able to manage minor spikes of up to 25% by dynamically adjusting my positions. With VXX declining at roughly the same rate as AAPL was rising it’s been a very profitable trade. To manage major spikes I limit position size so there will be enough cash left to profit from a subsequent vol collapse. Based on analysis of your contango chart I think this trade will be profitable for as long as VIX contango persists.

    It would be nice to hedge a major VIX spike, but contango makes a direct hedge too expensive. A more cost effective approach might be allocating 10% of reg T margin to (June) dollar index futures (UUP) with a stop loss. Appreciate any thoughts on hedging of VIX spikes.

    Groeten!

  16. jrv says:

    Hi Max, congratulations! I have not investigated too much on hedges for a volatility spike, dollars or treasury bonds could do the job but if volatility drops they might drop too, probably less so it could be a nice hedge. I’m also inclined to think that a good strategy is being permanently short and adding even more short positions on spikes. The key is not to be short on a big amount that could do you harm. I am inclined to think that’s a good strategy because even though I acknowledge that the VXX could triplicate or more suddenly it would not matter too much if you are already making a lot of money on your shorts and that would leave you money to short more on a good time: when the vxx is high.

    Anyways a very good market knowledge is also probably of more help than anything else, if you can really understand the market and foresee major problems you probably have an edge trading volatility but that is something quite difficult to do, I don’t think I can or am inclined to do it so I focus my investing efforts more on single companies than on the whole market. Maybe some people can understand the general market well enough to profit from it, for example I think George Soros was quite good at understanding it and profiting from it, in his top times.

    I leave the VXX as a side trade because I think I understand better than the average trader how it operates technically and recognize that it passes most of its time in contango and I believe that will not change, there will be periods of backwardation but they will most probably pass too and what’s more important: they give you the opportunity to short.

    In conclusion I like the idea of being permanently short on a position small enough to avoid having pain if it goes deeply against you and that leaves you money to add on spikes, the higher the spike the better to add more. At these levels though I am not adding, I might even close my short positions one of these days, I’m not sure yet bout that, but what I’m sure is that I am not shorting, as of now, more than what I already have.

    Cheers!
    jrv

  17. Max says:

    With VIX at 15, I couldn’t resist spending 1% of my portfolio on VIX June 30 calls, sufficient to hedge my monthly VXX shorts for April, May and June in case of a vol spike. Will let you know how my Q2 plays out. I follow your stock picks with great interest but I have not been able to find the time for the value investing approach myself. Just long AAPL call spreads because support over the past year has been incredible. I wonder what could bring it down?

  18. jrv says:

    Hi Max, indeed at this levels a market scare or pullback could make the vxx increase quite much, probably not a bad idea to be hedged if you do not spend too much on it because on the other hand contango relentlessly erodes its value …

    Cheers!
    jrv

  19. jrv says:

    Apple sales/margins on relatively new products have been absolutely amazing, congratulations on that !

  20. Pingback: VXX shorting model (sell signals) | The Intelligent Investor Blog

  21. Pingback: VXX represents a VIX future expiring in exactly one month | The Intelligent Investor Blog

  22. Cameron says:

    Hi jrv,

    Great site! Quick question … any idea what causes posted dollarweights at:

    http://www.ipathetn.com/us/product/VXX/#/dollarweights

    to differ from calculated values. I did a similar calculation as your spreadsheet, and conclude the May 12 future should have 69.7% dollar weight on 4/26/2012 instead of 62% as published. Do these values stray from each other often, and if so, do you know any reason why or if it is cause for concern?

  23. jrv says:

    Hi Cameron, thanks !

    It could be because they report the weights at the begining of the day and I do it at the end of the day. So one day is shifted.

    The calculations I made come from their prospectus, I start with 100% of first future month VIX contracts and sell a fraction of them every day until none are left by the end of the month, just as stated in their prospectus. It’s hard to make a mistake in such a simple calculation and predict the VXX right. If it was incorrect it would have an impact and the VXX calculated price would differ, so it probably is OK.

    Cheers!
    jrv

  24. Cameron says:

    I was wondering if the discrepancy has anything to do with this statement in the prospectus:

    http://www.ipathetn.com/static/pdf/vix-prospectus.pdf

    In addition to the transactions described above [mechanics of rolling] the weight of each index component is also adjusted every day to ensure that the change in total dollar exposure for the index is only due to the price change of each contract and not due to using a different weight for a contract trading at a higher price.

    Not sure what the implication is for the relative dollar weights on each contract. The current published dollar weights seem at odds with the calculation based on rolling only.

    Cheers,

    Cameron

  25. jrv says:

    I don’t understand that sentence. I just rolled. If it had an impact then the pricing of the model and the market should differ, since that does not happen I conclude it has no major importance.

  26. jrv says:

    Ok I understood I think: They say that you basically do not use a different weight for a contract trading at a higher price. Which is how it has to be. So you weight based on the number of contracts exclusively and not on the futures price. That’s correct. If you start with 100 contracts every day that passes you sell the same fraction of contracts and no more or less because the futures price goes up or down. So if one day the futures are high you will sell more dollars if another day they are low you will sell less, but the amount of contracts you sell is fixed.

    The apparent discrepancy comes because you cannot compare the weights directly because they show DOLLAR weights on their site but I show number of contracts. The dollar weights do not change linearly because they depend on the futures price, whereas the contract weight change in a fixed amount every day.

    If you want dollar weights to be able to compare then you need to multiply the number of contracts by the futures price on the spreadsheet, that will tell you how many dollars are in each type of contract and you’ll be able to compare apples with apples.

    Cheers!
    jrv

  27. jrv says:

    This post below explains the discrepancy between dollar weights and # of contract contract weights. You can go from one to the other easily anyways:

    http://investing.kuchita.com/2012/04/27/vxx-represents-a-vix-future-expiring-in-exactly-one-month/

  28. pc says:

    Hi jrv,
    I am having some trouble locating historic data so was hoping you might know where I can find it.

    First, in your spreadsheet I see historic data for VXX-IV. Is this calculated by you or do you know of a website where this info can be downloaded (into excel)?

    I’m also looking for historic data for the following:
    1. S&P500 VIX Short Term Futures Index (^VXX) daily closing prices. I believe this is the index VXX is most highly correlated to.
    2. Daily historic weightings of ea futures contract for ^VXX
    3. UVXY-IV historical data. (I’d like to do some reasearch on this vs VXX and ^VXX.

    Any idea where I can download this info?

    Thanks!

  29. jrv says:

    Hi PC,

    I downloaded all the VIX futures data since March 2004, its available on the CBOE site here: http://cfe.cboe.com/Products/historicalVIX.aspx

    Every link represents a VIX future expiring on a particular month. You can download all that as text and open into excel.

    You cannot download daily historic weightings of futures contracts for the VXX, you can calculate their relative values, that’s what I did. You can get the dollar weightings on a day to day basis but not the historical data.

    I also do not know where you can download 1) or 3) since I have not used it.

    Cheers!
    jrv

  30. Mike says:

    jrv,

    Have you thought about shorting in the money or at the money VXX calls and then buying a time matching out of the money VXX calls (in case a “black swan” shows up)?

    By doing this you get 2 benefits 1.) Less buying power used and 2.) the benefit of option time decay combined with the decay of contago.

    Cheers,
    -Mike

  31. Pingback: XIV data and pricing model since VIX futures available (2004) | The Intelligent Investor Blog

  32. Pingback: Futures Index | NYSE, New York Stock Exchange

  33. jrv says:

    Sounds like a good idea that’s similar to what I did back in August 2011. But if a swan comes its tricky to know when to sell the out of the money calls you bought for protection.

    I then shorted calls when the VXX was at 33 and at the same time bought strike 35/40 calls, then the VIX spiked and I sold the calls but its tricky because once you sell your shorts you stay unprotected. Unless you re buy the shorted calls but then you take a loss.

  34. jrv says:

    Hi pc, Sorry for the late reply.

    Regarding your questions:

    Historic data for VXX-IV: Is this calculated by you?

    Me: Yes.

    or do you know of a website where this info can be downloaded (into excel)?

    Me: You can download the VIX futures data from the CBOE site. There you can get the monthly test files for each VIX future. You can bring that into an excel file and calculate the VXX-IV (I just call it VXX in the spread sheet). But actually that’s what I did here, so you already have it if you downloaded it.

    Cheers!
    jrv

  35. Kainvest says:

    Have you guys played or think of playing VIX future and options?
    Wondering if they could be exploited in terms of mean reversion and contango / backwardation?

  36. jrv says:

    I have not done it but I did give it a thought. I think they can be exploited. As I see it VXX exploits contango in the sense that it is built to decay due to it.

    You’d have to consider all the associated costs such as commissions, time spent monitoring and executing, bid ask spreads etc…

  37. Chris Tomso says:

    You can get the data for free from S&P.

  38. jrv says:

    Hi Chris thanks, can I get for free the vix futures data settling prices from the 4th until the 7th month since they started trading ? If yes can you point me to the link ?

    I can get the data from the cboe site but they are in a format that would make me have to download and copy paste a lot of information from several text files. I prefer to have the data already in a single spreadsheet if possible, that would save me quite some time.

    Best,
    jrv

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