My count of volatility US-based ETPs trading on national exchanges is at 8 as of August 9th, 2024.
New Additions:
- Volatility Shares added ZIVB on April 18th, 2023. It is a -1X medium term VIX based ETF. For more on ZIVB see https://www.sixfigureinvesting.com/2023/03/how-does-volatility-shares-1x-medium-term-zivb-work/
Ticker/Quotes & Leverage Description / Time frame Daily activity? / underlying index ETF / ETN
Company website / ProspectusComments / Posts ^VIX (Yahoo)
$VIX (Schwab)
VIX (Fidelity)
VIX:IND (Bloomberg)
.VIX (Reuters)
INDEXCBOE:VIX (Google FInance)Cboe Volatility Index®
Model-free est. of SPX 30 day volatilityVIX
Derived from SPX option pricesCBOE / Not investible TVIX/UVXY–closest to a direct VIX investment Long Volatility Short Term (1-2 month VIX futures) VXX 1X short term
VXX IV YahooiPath Series B S&P 500 VIX Short-Term Futures Tracking Index SPVXSTR ETN
Barclays’ websiteHas options available.
There are slight differences from the original VXXVIXY (ETF) IX short term ProShares VIX Short-Term Futures Tracking Index SPVXSP
Roll VIX futuresETF
ProShares(VXX clone)
options available
Tax reporting: K-11.5X & 2X Long Volatility Short Term (1-2 month VIX futures) UVIX (ETF) 2X short term
UVIX.lV CboeVolatility Shares 2 X leverage, Daily rebalance
Index: LONGVOLETF
UVIX websiteHow Works
Options available
Tax reporting: K-1UVXY (ETF) 1.5X short term ProShares ETF 1.5X leverage, Daily rebalance
SPVXSPID:INDUVXY website / prospectus options available
Tax reporting: K-1Short Volatility Short Term (1-2 month VIX futures) SVIX (ETF) -1.0X Volatility Shares ETF -1.0X leverage, Daily rebalance
Index: SHORTVOLETF
SVIX websiteHow works
Options available
Tax reporting: K-1SVXY (ETF) -0.5X ProShares ETF SPVXSPID:IND ProShares SVXY website/prospectus options available
Tax reporting: K-1Long Volatility Medium Term (4-5-6-7 month VIX futures) VXZ (ETN) 1X iPath S&P 500 Series B VIX Mid-Term Futures ETN Roll futures SPVXMTR:IND
ETN
* Barclays website
* ProspectusOptions available. There are slight difference to the original VXZ VIXM (ETF) ProShares VIX Mid-Term Futures ETF Roll futures SPVXMPID:IND ETF
ProSharesVXZ clone)
options availableShort Volatility Medium Term (4-5-6-7 month VIX futures) ZIVB (ETF) Volatility Shares’ new -1x Short Mid-Term VIX Futures ETF Roll futures SPVXMPID:IND ETF
VolatilitySharesTax reporting 1099 Hybrid / Strategy PHDG (ETF) Invesco S&P 500 Downside Hedged Portfolio S&P VEQTOR
(S&P 500 plus a variable VXX component)ETF Details on VEQTOR Index
Mgmt fee .39% per year
Tax reporting: 1099
Options AvailableVolatility Settlement VRO CBOE,Fidelity,…
^VRO Yahoo
$VRO SchwabWeekly VIX options/futures settlement VRO VIX Style Volatility on SPX VIX1D, VIX9D, VIX3M, VIX6M, VIX1Y VIX Methodology with different time horizons SPX See Volatility Related Indexes and Tickers Other Useful Indexes SPXT S&P 500 Total Returns index (includes dividends) SPXT:IND USB3MTA:IND 3 Month Treasure Bill Yield USB3MTA:IND
Treasury Website — data and spreadsheet downloadVIX Style Volatility on Commodities//Stocks/Indexes VXN Cboe Nasdaq 100 Volatility Index TYVIX Cboe 10-year US Treasuries VXAZN Cboe Amazon VIX (AMZN) VXAPL Cboe Apple VIX (AAPL) GVZ
Cboe Gold VIX (GLD)VXGOG Cboe Google VIX (GOOG) VXGS Cboe Goldman Sachs VIX (GS) VXIBM Cboe IBM VIX (IBM) OVX Cboe OIL VIX (USO) VXSLV
Cboe Sliver VIX (SLV)
Hey Vance,
Any idea what symbols can be plugged into Google Finance in order to pull up the VIX futures curve? The following tickers work for spot price and (I think) some delayed symbols, but I can’t seem to build a curve like vixcentral. Thanks!
=GOOGLEFINANCE(“INDEXCBOE:VIX”) <- vix spot
=GOOGLEFINANCE("INDEXCBOE:SPVIXST") <-vxx index
=GOOGLEFINANCE("INDEXCBOE:TWLV1") <- m1 vix future.. I think.. but doesn't seem right. Thanks
The current secret code is “VIXMAR”, “VIXAPR”, etc. VIX followed by the 3 character month label. The soonest to expire and the next 3 months usually work, the ones after that are iffy. Currently August is working but not jun or jul.
Hello Vance,
Thanks for compiling the above list – it’s a great reference. Do you know of any similar exchange traded products that are based on volatility in the European or Asian markets? Also, any volatility ETP’s for the bond market that you may be aware of?
Regards.
HI rttrader12, I believe there are at least some vol based ETPs in Europe based on the VSTOXX index. I’m not aware of any USA ETPs for bond volatility. The CBOE does offer futures on 10yr bond volatility (TYVIX), but it appears to be a non-starter product with no volume / open interest.
Would these help diversify a SVXY holding?
Yes, they would provide some diversification. The USA and European markets aren’t in total lockstep.
Vance, how does one evaluate the tracking accuracy of all of the VIX products?
Hi James, The best tool I’m aware of is ETF.com’s reports on various ETFs. They typically provide a graph of tracking plus average and worst case tracking errors in the statistics Here is an example: http://www.etf.com/TVIX
Thanks, Vance.