Feb 3, 2012

Rolling Volatility Futures Indexes

Fellow blogger Vance from Six Figure Investing created a complete suite of volatility indexes based on VIX futures, from their inception in 2004 until present. The indexes he created are total return indexes and therefore suitable for backtesting.

Actually they are even better than "official" indexes like SPVXSTR, because they have longer history, and correct data errors in the original index calculation! The last point is extremely important if you are trying to backtest VIX futures strategy - on some days settlement data from CBOE and Bloomberg did not match, and in other days rollover days were not accounted for in a proper manner. Link to the data, link to very detailed description of the calculations and sources.

1 comment:

  1. Anonymous2/23/2012


    You did a post last year about XVIX with some backtesting that showed its optimization. As you noted XVIX is rebalanced daily.

    I was wondering if you had any idea how a 1-1 long VXZ, short VXX would perform in backtests with say something like a 1 to 3 month rebalance. A 1-1 ratio would be less smooth, but I would think more profitable over the longer term. Not sure how often you would have to rebalance to keep things in check. I think monthly would do it.

    Thanks in advance.