VXZ (iPath S&P 500 VIX Mid-Term Futures ETN)
VXZ Exposure and Basic Characteristics
VXZ is the most liquid exchange traded note targeting longer maturity VIX futures. It is provided by iPath (Barclays) and designed to track the performance of S&P500 VIX Mid-Term Futures Index (its total return version, Bloomberg ticker SPVXMTR). VXZ has the same target exposure as other VIX ETFs/ETNs VIXM (by ProShares) and VIIZ (by VelocityShares). It differs from the popular VXX (also by iPath) in the maturity of the futures. Due to the longer maturity, VXZ tends to move more differently from the spot VIX (CBOE Volatility Index) compared to VXX and it is usually less volatile.
Direction: Long, unleveraged
Underlying index: S&P500 VIX Mid-Term Futures Index TR
Exposure: The middle part of the VIX futures curve (combination of long positions in the fourth, fifth, sixth, and seventh VIX futures contract months – rolling from the fourth to the seventh to maintain constant 5 month maturity)
VXZ options: Available, but very illiquid
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 Mid-Term Futures ETN is designed to provide investors with exposure to the S&P 500 VIX Mid-Term Futures™ Index Total Return. … The S&P 500 VIX Mid-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 fourth, fifth, sixth and seventh 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).
VXZ product page:
VXZ Quotes, Assets, and Trading Volume