Volatility ETFs & VIX Futures: FREE Spreadsheet Download

Video Transcript:

(0:00 - 0:23)
So how are you going to be a successful volatility trader if you don't have the underlying data? For example, shorting the volatility ETFs like UVXY, VXX, SVIX. There's plenty of money to be made shorting these things if people can successfully manage the risk. But of course, it can't be done blindly.

You need effective entries and exits. You need layers of risk management. Essentially, you need a real strategy that requires a lot of planning.

(0:23 - 0:39)
Now, of course, that's what I do at VTS. I send out the trade signals every day for all of our tactical strategies, so you can crush the market by simply following my daily email. But a lot of people do ask me for some help with the underlying volatility data, so they can do a little testing themselves and crunch some numbers.

(0:39 - 1:38)
So today, by popular demand, I've put together a spreadsheet that you can download for free that will give you some of that volatility data, so you can save many hours of your time. This is the type of video that people will come back to multiple times, so I've actually timestamped all three segments that we're going to talk about today. First, I'll open up the spreadsheet and show you all the data that's included.

Next, I'll show you exactly how you can download it for yourself. And then lastly, we'll talk about updates and how I think you could best keep your spreadsheet current. And also, as you're watching this, I would love to hear you comment down below.

What kind of data would you like to see added for future versions? This is a work in progress, but it's for all of you volatility traders out there, so let's get into the spreadsheet. All right, so this is what the spreadsheet looks like. Now, you will need Microsoft Excel to look at this, but it'll work in a PC or Mac version.

I use a Mac. I'm an Apple fanboy. Don't hold it against me. I've tried a few times to get out of the Apple ecosystem, but they just somehow keep pulling me back in. But it'll work on both versions. Now, the first thing, of course, is the VIX Futures.

(1:38 - 4:11)
This isn't something you can download anywhere. You'll either have to put it together yourself or you'll have to pay money for this data. If we look at vixcentral.com, for example, you can get the VIX Futures data here, and there is even a historical prices.

But to go through and actually put it together, input all seven futures, go to the next day for 20 years. So I'm pretty happy to be helping you out and just organizing it all for you. Plus, I've got the days to expiration, the percent that the volatility ETFs roll every day, and we've got all of this data going right up to the present.

If you scroll over a little bit further, I have also included the cash VIX term structure. This is something that I talk about a lot. I find these data points extremely useful.

In my daily email, I actually publish a lot of extended data based on these numbers. But at the very least, you should have the raw data. Now, VIX and VIX 3M, the three-month VIX, and the six-month, these go back, but you'll see if you scroll down, these are all starting on different dates.

The VIX 9D, for example, that doesn't have data until 2011. But I have also included the VVIX, which is the volatility of the VIX, and the VALI, which is measuring at the money premium. It's very similar to the VIX index, it's just slightly different calculation.

So you're going to have all of these data points as well. If you're into the volatility ETFs, that would be next. Remember, they are all based on underlying indexes.

Volatility ETFs don't trade based on supply and demand. They actually track these indexes. And I've got all the data going back as far as it is available.

So just as an example, the SVIX tracks the short vol, the UVIX tracks the long vol, VXX, UVXY, they track the SPVIX STR. We've got the minus one, minus 0.5 for something like the SVXY. We've got the midterm index for the ZIVB, the VXZ, VIXM.

So you'll have all that data as well. And then this is going to be very useful for people as well. I have included all of the volatility ETFs simulated back as far as they can go.

So the VXX, for example, that was the very first one to launch in January 2009. But I've got the values for you going all the way back to March 26, 2004. And that's the same for all of these.

Now the UVIX and the SVIX, these are very new ETFs. And because they are trading based on different underlying indexes, that data doesn't go back quite as far, but it still does go to 2005. So you're going to have all of the volatility ETFs going back as far as you can so that you can run any tests that you need.

And then just for fun, I do also have the old XIV, the ZIV and the old TVIX. XIV was terminated in volpocalypse in February 2018 and ZIV and TVIX were delisted in July 2020. But just for fun, you've got these values as well.

(4:12 - 4:49)
Now to make things a little easier to look at, I've also divided the VIX futures here as you can see. Probably the most common data point, the one people talk about a lot, is M1-M2 VIX futures contango and backwardation. So I've calculated that for you.

It's a very simple calculation, but I've also shown it on a chart, again going back to 2004. And then if you want to see the percentile ranks, that's all here as well. So just at a quick glance, you can see the low, the high, the mean, the median, and then any simple percentile.

If you're looking to trade some type of strategy, maybe you need the 40th percentile. Well, you can see it right there. The next tab I included, the VIX index, and this is going back all the way to 1986.

(4:49 - 5:13)
Now the VIX launched in 93, there's a back test to 1990, but I'm actually using the VXO, which is using the old S&P 100 calculation, and that one we can go back another 4 years to 1986. Interesting data point, because of course we can include the October 1987 crash. But you've got all the VIX data going back many years, and again, percentile rankings, so you can just quickly at a glance see what your VIX data is looking like.

(5:13 - 6:13)
Just a side note, and this is going to be a recurring theme, please give this video a like for me, because you have no idea how tedious it is to get this all based on trading days only. The data in many cases includes weekends and holidays and, you know, the 9-11 closing of the markets. It's actually really slow and tedious to put this together, so please give the video a like for me.

The next piece of information, just in case you need some benchmarks, I've got the S&P 500 total return index, total return meaning it does include all the dividends, and this is back to 1990. You can see a chart here, this is the S&P total return. Measuring against the S&P 500, of course, is the most popular benchmark, so you should have this data.

Again, trading days only, very tedious. The next thing I included, because of course nobody should put all their money in the stock market, people do have diversified portfolios, I've included the Vanguard total bond index as well. Trading days only, going back to 1990, so it matches up exactly with the S&P 500 total return index on all the same days.

(6:13 - 7:15)
And then the third one, this is the gold spot price going back to 1990. Removing all weekends and holidays, that was actually quite tedious. But you've got gold as well going back to the same date.

So what you can do with this data, just so you have a realistic benchmark to measure your performance against, this is showing a 50-30-20, so total stock market, bond market, and gold. 50%, 30%, 20%, and that's what this looks like. Organized all on trading days, so you can just match it right up to any strategy that you're comparing to, and you're going to have this information.

And then, of course, here it is on a chart, just so you can see visually. The next piece of data that I have included is Bitcoin. Bitcoin is starting to get to that point where, for me personally, I'm going to start trying to trade tactical strategies around it.

Now, I've got this going back to 2012, and this is trading days, matching up perfectly to anything else you're using. But I would say, just because the volume was so low and very few people knew about it, probably starting in about 2016-17 is more realistic data. But this goes all the way back to 2012, if you want to drag it that far back.

(7:15 - 8:49)
Over to the right of the chart, I have included the Grayscale ETF, as well as the 2x Bitcoin Futures. These are tradable ETFs. If that fits your strategy, well, you're going to have this as well.

I would imagine most people are basically just interested in the Bitcoin stuff. And then, the last thing that I have included, because this is extremely important whenever you're strategy building and testing things, of course, everything has to be inflation-adjusted, and you're going to need that inflation data in order to do that. So, this is the CPI going all the way back to 1913, and we've got the month over month, year over year, plus a few charts, just to make it easier to look at.

So, this is the CPI. Of course, you can see pretty clear break there after the gold standard was abandoned. And then, we've got the month over month here, year over year here.

Now, I've got a video coming out soon talking about why this inflation number is wildly understated, but at least you have the official government numbers. And personally, for me, I would say go ahead and add a percent or two. The formulas they're using these days, they are intentionally understating inflation.

But that's what you've got, a workable benchmark, 50-30-20. Got the VIX back to 1986. We've got Contango and Backward Asian in the front month futures.

And then, of course, we've got all the volatility data, which is going to be very useful for people. All the underlying indexes that those are based on, the cash VIX term structure, and then, of course, VIX futures back to 2004. So, that's going to be the first version that we go with.

There's enough there to get you started. And like I said, the amount of time this is going to save you, and by proxy, money, because of course, time is money. This is a huge value added that I'm giving everybody, and you only have to do one thing to get this spreadsheet.

(8:49 - 12:08)
Down in the YouTube description below, and I've also pinned it in the first comment, I've included a link to my website where you can subscribe to the VTS community. Now, the important part, there's always a free two-week trial for anybody who wants to see the full VTS service before committing. That's always available to everybody, even if you've taken the free trial before.

And once you sign up for the free trial, there is no further paywall after that. You will see 100% of everything that's offered within the VTS community. All the trade signals for all five strategies, full access to the course library, which includes iron condors, short volatility ETFs, a UVXY butterfly option strategy, stock replacement with options, and new lessons being added regularly.

You'll see the volatility dashboard and the ETF decay factors updated every day. Articles, videos, access to my email to get all your questions answered. But what's also included is a welcome package where you'll get one email per day for the full two-week free trial.

And in that welcome package is the download link for this spreadsheet. Now, you'll have full access to the course already on day one, but if you do want to skip ahead to day 13, you can just go ahead and download the spreadsheet right away. The reason I put it near the end is a lot of the VTS community isn't really interested in crunching numbers in spreadsheets.

Of course, that's what they're paying me for. Performance of the strategies is my job. But again, some of you will want to tinker with things yourself.

So if you want that spreadsheet, you can just sign up for the free two-week trial and you'll have it right away. But I'm also going to keep this spreadsheet updated for you in two ways going forward. First of all, every quarter, so we're talking about the end of March, June, September, and December, I'll update all of those values for all of the data points that are already included.

But I'm also going to be gathering feedback from the community and adding anything that everybody thinks that they would benefit from. So think of this as a work in progress. And again, comment down below what data points you think should be included next time around.

Now, lastly today, I do want to show everybody how I think the best way to keep your spreadsheet updated. All right. So one thing that I wanted to draw attention to here is that if you are going to be in the habit of altering the spreadsheet that you downloaded from me, let's say you're going to be adding a bunch of columns and actually working with this data, it's actually going to become more tedious to update it every quarter when I do that, if that's what you're planning on doing.

Now, if it's a one-time download and you're just going to be off to the races, then do whatever you want to do with your spreadsheet. But if it is your plan to come back and update every quarter, here's what I suggest you do. So when you download it, you can actually just make a copy of this spreadsheet, call it a different file name, and you'll basically have two spreadsheets with the exact same data on it.

One of those spreadsheets is the one that you're going to be using personally, and the other one is just the one that you're not going to alter that you get from me. So if you were to go ahead and do an update, all you would have to do, if you wanted to get the new data, is number one, if you're updating the data within one of the sheets, all you do is go to the top, you select the entire page, and you would literally just copy and paste. So let's say we were actually going to a new sheet, this was a brand new spreadsheet, you would just literally paste it right in there, and it will give you all the data.

And this would be in your new spreadsheet, and then you just start working with this. You just wouldn't alter this page, you would just start a whole bunch of new ones and start doing your testing. And then the other thing you can do, because sometimes I will actually be adding new pages to this spreadsheet, let's say there's a lot of comments, somebody wants something added to it, I can go ahead and do that next time around.

(12:08 - 14:25)
So again, let's actually pretend that you have a brand new spreadsheet, it's a totally different name, in this case it's book one, but it would be named whatever you called yours. If you wanted to do that, again, you would download my spreadsheet as it is, and then you can just come to the bottom, let's say you wanted to do the M1, M2, you can see one of the options is move or copy. You can just go there, and then here, to which book, you would just select your book, right? Now if you wanted to make a copy and keep the original one, then you just make sure that you click create a copy.

So it's going to leave one of the copies in my spreadsheet, and it's going to take the other one to your spreadsheet. So if you just go like this, and just like that, now in your spreadsheet, the entire page as it was, is going to arrive in your spreadsheet. Plus, because I selected it, you can see it's still also in this one.

So those two very simple Excel tricks is going to be how you keep your spreadsheet updated. Again, copy and paste the entire page, or move and copy and put it into your sheet. Pretty easy stuff, but you're going to have to keep it organized.

As I've said before in my live streams, I've got dozens of spreadsheets and they get so large that they actually crash my computer, I have to remake some of them. If you're anything like me, you're going to see some of this data and you're just going to be doing multiple testing, and it's going to take you in a direction where your spreadsheet is harder to manage. I would suggest right from the start, you have a plan to make it as easy as possible.

And these two things, that's all you're going to have to do. It's as simple as that. It's always been my goal to make the VTS community packed with so much value that a person couldn't possibly find anything that comes close.

Now performance wise, we've already been doing that for over 12 years now, since launching in 2012. But coupled with all the courses that are included, the volatility dashboard and all the useful data, plus the live Q&As to get all your questions answered, I truly believe it's a landslide at this point. And there's no way you're not going to get incredible value here.

And now with a volatility data spreadsheet as well, definitely take the free trial and give VTS a serious look. I promise you that you will be impressed. Thanks for watching.

So if you want to see how I personally use volatility data like this to create a market crushing short volatility strategy, you should check out this video next. Or if you want to see my entire portfolio and see how all five of these strategies combine together in a diversified portfolio, then this is the video you need to watch. See you next time.