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- Black Swan on XIV historical data and pricing model since VIX futures available (2004)
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- Black Swan on XIV historical data and pricing model since VIX futures available (2004)
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Tag Archives: xiv
What is the XIV’s (or the VIIX/TVIX’s) Daily Investor Fee ?
If you use index ETNs, you better know how big the fee you are charged is. Specially if you use volatility ETNs. You should be even more aware of the fee if you use inverse volatility ETNs and yet even … Continue reading
XIV historical data and pricing model since VIX futures available (2004)
Click here to download all the XIV, front month VIX futures and contango and backwardation data since 2004. Note that the data was updated on (California time). The estimated XIV price is modeled based on VXX data. Market VXX data … Continue reading
XIV graph and data since VIX futures available (2004)
Using the same futures data used to calculate the VXX a fellow yahoo VXX message board poster calculated the historic XIV values. The idea is good but the model accuracy can be improved by using more data available. For that … Continue reading
VXX historical data and pricing model since VIX futures 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 … Continue reading
Posted in General
Tagged backwardation, contango, S&P 500 VIX Futures Index, vix, vxx, vxx graph, xiv
36 Comments
Volatile week
Is this market as measured by the S&P changes volatile enough?: Monday -6.66% Tuesday +4.74% Wedn. -4.41 Thursday +4.63 Well NEVER before in the history of the S.& P. index, which goes back to 1928, have … Continue reading
Posted in Companies
Tagged bonds, inflation, T-Bonds, United States Gypsum, vix, volatility, vxx, xiv
9 Comments
