Join waitlist
The books... not free though
10 Strategier Som Slår BörsenSvenska10 Strategier Som Slår Börsen10 Strategies That Beat the MarketEnglish10 Strategies That Beat the MarketProRealTime Coding Made SimpleEnglishProRealTime Coding Made Simple
600+StatisticsMarket statistics and edges1,327StrategiesBacktested strategy library18Research papersThe study behind the algos301DocsProBuilder coding reference27Algo development programCourses and lessons24Everything here feeds the 24 algosSee the algos

Stats › Options, shorts and positioning › VIX ETP decay

The VIX rose 75% while the index VXX tracks fell 92%, and the difference is maturity

VIX index spot: 174.71+174.71VIX indexspotShort-term futures index: 7.10+7.10Short-termfutures indexSPVXSTR what VXX tracks: 7.95+7.95SPVXSTRwhat VXX tracksMid-term futures index: 102.62+102.62Mid-termfutures indexMid-term total return: 114.90+114.90Mid-termtotal return

Value of $100 invested on 20 December 2005, measured at 13 April 2012. The spot VIX rose more than 70% over the period. The short-term futures index fell more than 90%. The mid-term index was roughly flat. Index levels only, with no fund fees applied.

One hundred dollars tracking the VIX index would have been worth 174.71 by April 2012. The same amount in the short-term futures index that VXX tracks was worth 7.95. The mid-term index was worth 114.90, so the loss is maturity, not volatility.

$174.71$100 in the VIX index, 20 December 2005 to 13 April 2012
$7.95The same in the short-term futures index VXX tracks
$114.90The same in the mid-term futures total return index
-0.64 and -1.02VXX annualised drift and Sharpe ratio, 2010 to 2017

Members only

The rest of this page is for members

Below this point there are 5 sections and 5 named sources, roughly 600 words of it. Every figure carries the source it came from and the date the data is from.

You can keep browsing every statistic in the library for free. The intro and the summary are always open.