Free Historical VXX Data
I use Bloomberg data on the blog to show VXX’s estimated performance prior to the ETP’s launch in 2009, but that’s not an option for most readers.
So to help readers in their own research, I’ve calculated historical VXX data all the way back to 03/2004.
Data prior to VXX’s launch is estimated based on VIX futures (not Bloomberg), so for the uber nerds, I’ve also included the Excel workbook I used to make those estimates.
You’ll find instructions for updating the workbook on the first tab.
Note: the II Blog charges a fee for a similar file. I haven’t seen his calculations, but I couldn’t imagine asking readers to pay for something that should be freely available to all, so I created my own version, including formulas and futures data, from scratch. Enjoy.
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Filed under: VIX & Volatility | 22 Comments