I often get asked for the best source of historical data to backtest strategies for trading VIX ETPs like VXX and XIV. These products can be accurately estimated back to early 2004, nearly 5 years before the launch of the first VIX ETP.
In my own research I use the formal index on which these ETPs are based, called the “S&P 500 Short-Term (or Mid-Term) Futures Index TR”, but this data is expensive to acquire and probably unnecessary for retail traders.
A very close approximation can be had by manually recreating that index using the right mix of individual VIX futures contracts. This type of data is available from a number of sources online, but I expect that the very best of the bunch is from Vance Harwood of Six Figure Investing.
As anyone who has followed Vance’s work knows, he has an incredibly detailed eye for the minutiae of the VIX and VIX products, and his historical data reflects that.
If you’re new to VIX trading research, I highly recommend starting with a good dataset like Vance’s. Note that I’m in no way being compensated for this post – just shining a light on the good guys to help future VIX nerds get pointed in the right direction.
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