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 factsheet:

VXZ prospectus:

Provider website:

VXZ Quotes, Assets, and Trading Volume

Yahoo Finance:


Related pages

merits of arithmetic meancalculate rsiskewness and kurtosis in statisticsexcel formula macrocomputation formula for standard deviationformulas on profit and losswilders moving averagedelta of put option formulas&p correlationhow to trade with macdsample variance formula in excelpopulation variance calculatordiscounted dividend model exceldelta gamma vegatechnical analysis momentum indicatorscalculation of market capitalizationpercentile calculator mean sdexcel 95 percentileatr indicator explainedrealized yield calculatorexponential function in excel 2010ipath etnsforecast variance formulahow to use natural log in excelintrinsic value of stock formulahow to calculate standard deviation in excelnormal backwardation vs backwardationgeometric vs arithmetic averagevix backwardationnormdist in excelwarren buffett sec filingsprofit & loss formulasvix symbolcalculate derivative in exceldow divisorannualizingcboe websitevariance in mathsvix chartstdev pstraddle strategy optionsdjia weightingrecent 13f filingscomputational formula for sample variancersi overbought and oversold conditionsum of squares formula statisticsdax market capnasdaq historical prices yahoowhat are option greeksformula for skewwhat does volatile mean in stocksvix option chainhow to trade using macdyahoo share prices historyvix settlement pricesrsi chartsyahoo finance currency historical dataequation for dividendsmonospace fonts listhow to calculate volatility for black scholeswacc meaningtrading thetasample covariance in excelfinding the median in excelproshare short s&p 500mean variance standard deviation calculatorskew equationexcel formula explainedcalculating covariance from variancestandard deviation in mathsdow jones investment calculatorblack scholes with dividend