VXX

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

51
*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 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 days. 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 have a better statistical correlation to the VIX, but also lose more money from contango in their futures positions. VXX’s performance is basically indistinguishable from its short-term peers, 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 launched under the ticker VXXB as “Series B” replacement for the original VXX. VXXB took over the VXX ticker in May 2019. The old VXX launched in Jan 2009 and delisted Jan 2019. The current VXX provides identical exposure as the old VXX with some structural changes, including an issuer call capability, reduced expense ratio and a non-path-dependent fee structure.

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
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Select ETFs to compare their performance:
PERFORMANCE [as of 09/12/19] 1 MONTH 3 MONTHS YTD 1 YEAR 3 YEARS 5 YEARS 10 YEARS
VXX -10.81% -13.94% -48.88% -17.46% -- -- --
VXX (NAV) -20.18% -16.05% -50.34% -18.78% -- -- --
S&P 500 VIX Short-Term Futures Index -20.12% -15.86% -50.03% -18.06% -- -- --
N/A -- -- -- -- -- -- --
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%
$860.49M
$884.43M
0.04%

VXX Portfolio Data

S&P 500 Short-Term
--
N/A
0

VXX Index Data

Single Asset
Single Asset
N/A

VXX Portfolio Management

0.89%
-0.69%
-0.46%
-1.38%

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
Cboe 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 09/13/19
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

34,081,302
$884.43M
27,814,895
$739.15M
0.04%
$0.01
0.16%
5.50% / -2.64%
None
100.00%
25,000
1,112.60
0.00%
--
1,553,835
$23.29
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

N/A
N/A

VXX Performance Statistics

0.91
0.46
--
--
--
--

VXX Correlations (Daily Returns 12 Mo)

0.95
-0.84

Rolling 30-day Correlation to VIX Index