VIXY

ProShares VIX Short-Term Futures ETF
B

49
*Unless otherwise stated, data provided by FactSet.

VIXY Fund Description

The ProShares VIX Short-Term Futures ETF tracks an index with exposure to futures contracts on the CBOE Volatility Index with average 1-month maturity. Exposure resets daily.

VIXY Factset Analytics Insight

VIXY's commodities pool structure sets it apart from the other two short-term VIX ETPs, which cover the volatility space as ETNs. As such, VIXY avoids the counterparty risk and the lack of tangible assets associated with ETNs, but requires annual marked-to-market tax reporting on K-1's. Our Fit score compares the 12-month performance of volatility ETPs to the VIX itself, not to futures on the VIX, and no VIX-tracking ETP comes close to measuring up. However, if you're trying to bet tactically on VIX movements, short-term ETPs like VIXY are about as good as it gets, with higher correlations with and higher beta to the VIX than midterm ETPs. Longer-term investors should be aware that they stand to lose significant sums of money via positional decay due to persistent contango in VIX futures contracts. The fund trades well, with thin spreads, and block-trading costs should be low for larger investors. VIXY charges a reasonable expense ratio for a fairly specialized product, but investors do need to bear in mind that the fund distributes K-1s annually.

VIXY CHARTS AND PERFORMANCE

  • 1 Month
  • 3 Months
  • YTD
  • 1 Year
  • 3 Years
  • 5 Years
  • Max
COMPARE
RESET
Select ETFs to compare their performance:
PERFORMANCE [as of 06/21/18] 1 MONTH 3 MONTHS YTD 1 YEAR 3 YEARS 5 YEARS 10 YEARS
VIXY -0.32% -18.72% 21.73% -33.85% -51.23% -52.50% --
VIXY (NAV) -0.33% -18.83% 20.69% -33.94% -51.39% -52.56% --
CBOE Volatility Index -4.69% -29.73% 15.85% 17.77% -2.88% -9.00% -5.65%
All returns over 1 year are annualized. All returns are total returns unless otherwise stated.

VIXY Summary Data

ProShares
01/04/11
Commodities Pool
0.87%
$111.60M
$38.07M
0.05%

VIXY Portfolio Data

S&P 500 Short-Term
0.00%
06/20/18
3

VIXY Index Data

Single Asset
Single Asset
CBOE Volatility Index

VIXY Portfolio Management

0.87%
-0.15%
-0.02%
-0.85%

VIXY Tax Exposures

27.84% / 27.84%
--
No distributions
Yes

VIXY Fund Structure

Commodities Pool
Yes
N/A
No Policy
N/A
N/A
Low
Daily
Bats Book Viewer
TOP OF BOOK
LAST 10 TRADES
Bats BZX Real-time Quote -
Daily Spread
Premium/Discount
Volume

VIXY Factset Analytics Block Liquidity

As of 06/22/18
5
4
3
2
1

This measurement shows how easy it is to trade a $1 million USD block of VIXY. VIXY is rated a 5 out of 5.

VIXY Tradability

1,248,561
$38.07M
1,134,772
$32.02M
0.05%
$0.02
0.10%
7.02% / -32.37%
None
100.00%
25,000
45.39
0.04%
0%
7,088
$28.17
5

VIXY Exposure

100.00%

VIXY Expected Decay

Expected decay estimates the annualized impact on returns solely from the futures term structure. A positive number implies an expected loss attributable to the term structure and a negative number implies an expected gain attributable to the term structure. Decay–to–spot compares weighted average futures contract prices with the spot VIX value. It also assumes a constant spot VIX level. Decay–to–preceding compares weighted average futures price levels with those immediately preceding on the curve, assuming that the shape of the curve is constant.

VIXY Term Structure

VIXY's index rolls a part of its VIX futures exposure daily from front month to 2nd month. The index turns over 100% of its exposure each month.
1 Month

VIXY Performance Statistics

0.79
0.55
--
0.49
0.46
4.65%

VIXY Correlations (DAILY RETURNS 12 MO)

0.89
-0.74

Rolling 30-day Correlation to VIX Index

Options Strategies for Outcome Investing

A collar strategy is a protective option strategy constructed by writing a call and buying a put with the same expiration date while being long the underlying security.