Month: September 2014

VXST Futures—Not a Bad Proxy for the VIX index

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Update:  On June 18, 2015 the CBOE announced that they would be discontinuing VXST futures and options.  These products have not achieved significant volumes so this wasn’t a surprising outcome. As an alternative solution to the desire for options better tracking the VIX the CBOE has added weekly expirations of futures and options to the already hugely popular 30 day VIX futures.  This approach has …

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Simulating Volatility ETP Open and Intraday High / Low Values

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Previously I’ve done simulations, based on VIX futures, of volatility Exchange Traded Products (ETPs) back to 2004.  In these simulations, I only generated the closing values, but since then I’ve had requests for open/high/low (OHL) values.  I’ve extended my backtests to generate ETP opening and intraday highs and lows for many of the short and medium-term volatility funds—specifically VXX, VIXY, TVIX, UVXY (1.5X & 2X), …

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