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 factsheet:

VXX prospectus:

Provider website:

VXX Quotes, Assets, and Trading Volume

Yahoo Finance:


Related pages

delta formulasdelta option greekcontract multiplier futurescalculation of market capitalizationvariance calculation exceloption pricing greeksstandard deviation formula shortcuthow to calculate average annual return in excelspreadsheets formulasfinance vxxblack scholes pricing model calculatorblack scholes modelsdefine contangoexcel implied volatilitymoment coefficient of kurtosisformula for calculating variance in statisticswacc formulasshorting a put optionsell strangleblack scholes dividend paying stockotm optionssample variance examplestrading today black scholes calculatorstock standard deviation calculatorequity hedge fund strategiesmultiplication square rootsformula for calculating skewnessaverage deviation calculatornormal dist excelintrinsic value calculatorwhat does rsi mean in stocksweighted average with percentagespayoff of call optiond2 calchow to calculate rsiblack scholes price calculatorshort strangle option strategyunderstanding vix2 line macdsp500 short etfsample variance formula in excelhow to calculate deviation in excelvariance function excelstock market volatility definitionapple stock price graphdirectional options tradingmsci value weighted indexcalculate mean variance and standard deviationvix trading strategymultiplication square rootskurtosis graphyahoo finance indicesoptions calculator spreadsheetvix eftetf etcformula to calculate range in excelcall option profit calculatoroptions futures and other derivatives global editionvix funds etfapple stock price graphstats variance formulageometric average return calculatorsharpe ratio in excelhow to calculate intrinsic value of an optionbloomberg vixexcel annualized returncalc standard deviationhow to trade vix optionsvxx prospectusarithmetic mean formula in statistics2 line macdsynthetic straddleetf ticker listoption expiration calendarvix white paperdelta gamma vegavix derivativesvega gammareward to variability ratio formulacumulative distribution function in excel