VXX (iPath S&P 500 VIX Short-Term Futures ETN)
VXX Exposure and Basic Characteristics
VXX is the best known and by far the most liquid VIX ETN. It provides exposure to short-term VIX futures, as it is designed to track the S&P500 VIX Short-Term Futures Index (its total return version, Bloomberg ticker SPVXSTR). For those who can’t or don’t want to trade VIX futures directly, VXX is the most convenient way of getting an exposure to the VIX (CBOE Volatility Index), although VIX futures and therefore also the VXX move differently (sometimes very differently) from the spot VIX index. Other liquid VIX ETFs and ETNs which represent exposure similar to VXX (by Barclays iPath) are VIXY (by ProShares) and VIIX (by VelocityShares).
Direction: Long, unleveraged
Underlying index: S&P500 VIX Short-Term Futures Index TR
Exposure: Short end of the VIX futures curve (long positions in the nearest and the second nearest VIX futures contract months, rolling to maintain constant 1 month maturity).
VXX options: Available and very liquid
Product type: ETN (exchange traded note)
Issuer: Barclays Bank PLC
Provider: Barclays iPath
Inception date: 29 January 2009
Official Information and Links
The iPath S&P 500 VIX Short-Term Futures ETN is designed to provide investors with exposure to the S&P 500 VIX Short-Term Futures Index Total Return. … The S&P 500 VIX Short-Term Futures Index Total Return is designed to provide access to equity market volatility through CBOE Volatility Index futures. The Index offers exposure to a daily rolling long position in the first and second month VIX futures contracts and reflects the implied volatility of the S&P 500 at various points along the volatility forward curve. Source: Official website and factsheet (see links below).
VXX product page:
VXX Quotes, Assets, and Trading Volume