VXX

iPath Series B S&P 500 VIX Short Term Futures ETN
*Unless otherwise stated, data provided by FactSet.

VXX Fund Description

VXX tracks an index with exposure to futures contracts on the CBOE Volatility Index with average one-month maturity. Exposure resets daily.

VXX Factset Analytics Insight

VXX is a known, liquid volatility ETP, and is one of a handful that offers short-term VIX futures exposure. As a VIX ETP investor, it is important to note these two 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 days. Still, short-term VIX ETPs like VXX tend to have a better statistical correlation and tactical exposure to the VIX than midterm product, but also tend to have position decay from contango in their futures positions. As an ETN, VXX is backed by Barclays’ credit rather than by assets. VXX launched under the ticker VXXB as Series B replacement for the original VXX. The old VXX was delisted January 2019, and in May 2019, VXXB took over the VXX ticker. The current VXX provides identical exposure as the old with some structural changes, including an issuer call capability, and a non-path-dependent fee structure.

PERFORMANCE [as of 06/16/21] 1 MONTH 3 MONTHS YTD 1 YEAR 3 YEARS 5 YEARS 10 YEARS
VXX 0.30% -39.61% -52.67% -78.93% -36.93% -- --
VXX (NAV) -16.87% -39.13% -52.31% -78.15% -36.63% -- --
S&P 500 VIX Short-Term Futures Index -16.80% -38.99% -52.12% -77.96% -36.06% -- --
CBOE Market Volatility Index -- -- -- -- -- -- --
All returns over 1 year are annualized. All returns are total returns unless otherwise stated.

VXX Summary Data

iPath
01/17/18
Exchange-Traded Note
0.89%
$1.01B
$785.47M
0.03%

VXX Portfolio Data

S&P 500 Short-Term
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N/A
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VXX Index Data

Single Asset
Single Asset
CBOE Market Volatility Index

VXX Portfolio Management

0.89%
-0.94%
2.47%
-1.39%

VXX Tax Exposures

20.00% / 39.60%
--
No distributions
No

VXX Fund Structure

Exchange-Traded Note
No
N/A
-- / --
Barclays Bank PLC
Low
Medium
Daily

VXX Factset Analytics Block Liquidity

As of 06/17/21
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

20,989,359
$785.47M
18,978,360
$653.72M
0.03%
$0.01
0.06%
301.53% / -4.01%
None
100.00%
25,000
759.13
--
--
1,904,900
$32.04
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

N/A
N/A

VXX Performance Statistics

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--
--
--
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VXX Correlations (Daily Returns 12 Mo)

0.91
-0.70