Skip to content

Replicating VXX or VXZ

With a little bit of elbow grease and some knowledge of programming in VBA or another language, you too can recreate the indices represented by VXX, VXZ, or maybe even your own volatility futures index.

The VIX Futures data is available historically going back to 2004 from the CBOE Futures Exchange.  You just need to bring all of the data into a framework that is easily understood from a programmatic standpoint.  You can download the data here or shoot me an email if you need assistance.

The second step is to dig into the prospectus for VXX and VXZ.  There is actually quite a bit of information available, just jump to page 20 and 21 of the following pdf:

[Download not found]

If the math is scary, you probably do not want to tackle this project

Once you are able to meld the formula with the underlying VIX Futures data, you will be pleasantly surprised at how accurate your own estimate of the index is:

You will not be pleasantly surprised to know that if you invested $100 in VXX at the beginning of 2008, you would have ~$2.70 today…

Posted in Derivatives, Educational.

Tagged with , , , , , , , .

Copyright © 2009-2013 SurlyTrader DISCLAIMER The commentary on this blog is not meant to be taken as an investment advice. The author is not a registered investment adviser. There is no substitute for your own due diligence. Please be aware that investing is inherently a risky business and if you chose to follow any of the advice on this site, then you are accepting the risks associated with that investment. The Author may have also taken positions in the stocks or investments that are being discussed and the author may change his position at any time without warning.

Yellow Pages for USA and Canada SurlyTrader - Blogged