VXX

iPath S&P 500 VIX Short-Term Futures ETN
B

49
*Unless otherwise stated, data provided by FactSet.

VXX Fund Description

The iPath S&P 500 VIX Short-Term Futures ETN tracks an index with exposure to futures contracts on the CBOE Volatility Index with average 1-month maturity. Exposure resets daily.

VXX Factset Analytics Insight

VXX is among the largest and most liquid volatility ETPs, and is one of a handful that offer short-term VIX futures exposure. Two immediate caveats: 1) volatility ETPs deliver poor long-term exposure to the VIX index; and 2) volatility ETPs have a history of erasing vast sums of investor capital over holdings periods as short as a few months. Still, short-term VIX ETPs like VXX generally make better tools for tactical exposure to the VIX than midterm products (short-term means 1-month average term VIX futures). They tend to do a better job than midterm ETPs in matching the VIX statistically, but also lose more money from contango in their futures positions. VXX’s performance is basically indistinguishable from its short-term peer ETPs but its excellent trading volume makes it the trader's choice. As an ETN, VXX is backed by Barclay’s credit rather than by assets.

VXX CHARTS AND PERFORMANCE

Price Chart ($)
Total Return Chart (%)
  • 1 Month
  • 3 Months
  • YTD
  • 1 Year
  • 3 Years
  • 5 Years
  • Max
  • 1 Month
  • 3 Months
  • YTD
  • 1 Year
  • 3 Years
  • 5 Years
  • Max
COMPARE
RESET
Select ETFs to compare their performance:
PERFORMANCE [as of 08/16/18] 1 MONTH 3 MONTHS YTD 1 YEAR 3 YEARS 5 YEARS 10 YEARS
VXX -3.07% -15.47% 8.42% -35.60% -50.86% -49.92% --
VXX (NAV) -3.64% -15.10% 7.61% -35.51% -50.80% -50.03% --
CBOE Volatility Index -- -- -- -- -- -- --
All returns over 1 year are annualized. All returns are total returns unless otherwise stated.

VXX Summary Data

iPath
01/29/09
Exchange-Traded Note
0.89%
$873.43M
$1.11B
0.03%

VXX Portfolio Data

S&P 500 Short-Term
0.00%
N/A
2

VXX Index Data

Single Asset
Single Asset
CBOE Volatility Index

VXX Portfolio Management

0.89%
-0.23%
-0.14%
-0.64%

VXX Tax Exposures

20.00% / 39.60%
--
No distributions
No

VXX Fund Structure

Exchange-Traded Note
No
N/A
N/A / N/A
Barclays Bank PLC
Low
Low
Daily
Bats Book Viewer
TOP OF BOOK
LAST 10 TRADES
Bats BZX Real-time Quote -
Daily Spread
Premium/Discount
Volume

VXX Factset Analytics Block Liquidity

As of 08/17/18
5
4
3
2
1

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

VXX Tradability

33,814,067
$1.11B
30,119,702
$971.06M
0.03%
$0.01
0.05%
7.11% / -32.84%
None
100.00%
25,000
1,204.79
0.05%
0%
2,762,207
$30.29
5

VXX 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.

VXX Term Structure

VXX'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

VXX Performance Statistics

0.80
0.56
--
0.49
0.46
4.65%

VXX Correlations (DAILY RETURNS 12 MO)

0.89
-0.74

Rolling 30-day Correlation to VIX Index