The Volatility ETF is based on the VIX Volatility Index developed by the Chicago Board Options Exchange (CBOE). The VIX has been tracked since 1986 but has changed over the years. The original VIX measured the volatility of S&P 100 (OEX) options but in 2003 it was changed to reflect options on the S&P 500 contract and the original VIX (Based On S&P 100) is now called the VXO. There is one more volatility index that measures volatility on the Nasdaq 100, this index is called the VXN.
VIX – S&P 500 Implied Volatility
VXO – S&P 100 Implied Volatility
VXN – Nasdaq 100 Implied Volatility
Over the past few years there have been no fewer than 12 Volatility ETF products that have come to market. The purpose behind these instruments is to give traders exposure to increasing or falling volatility as well as investors an additional way to hedge stock market risk.
The popularity of VXX has absolutely exploded as you can see by the average daily volume. This is despite the fact that it has performed miserably nearly the whole time. It just goes to show how much demand there is for downside protection. TVIX has also become a popular instrument despite the fact that it has dropped by about 80% in it’s first 5 months of existence.
Symbol Name Avg Daily Volume
VXX – iPath S&P 500 VIX Short-Term Futures ETF 21,795,900
VXZ – iPath S&P 500 VIX Mid-Term Futures ETF 749,911
XXV – iPath Inverse S&P 500 Vix S/T Futures ETN 83,689
TVIX – VelocityShares Daily 2x Leveraged VIX ST ETN 523,638
VZZ – iPath Long Enhan S&P 500 VIX Mid Term Futures ETN 40,897
XIV – VelocityShares Daily Inverse VIX Short Term ETN 120,860
XVIX – UBS E-TRACS Daily Long-Short VIX ETN 31,054
VIIX – VelocityShares Long VIX Short-term ETN 7,329
TVIZ - VelocityShares Daily 2x VIX Mid-term ETN 1,284
CVOL – C-Tracks Citi Volatility Index Total Return ETF 5,600
ZIV - VelocityShares Daily Inverse Mid-term VIX 521
VIIZ - VelocityShares Long VIX Mid-term ETN 90
Average Daily Volume as of: 4/26/2011