Hi,

It looks as if a lot of the VXX data is missing. The time series starts 2018-01-18, the inception date was January 2009.

I have seen a couple of recent threads about VXX, but I think this issue is new.

Thanks in advance!

The original VXX was created on January 29, 2009 and matured ten years later, on January 30, 2019.

VXXB, “Series B”, was created on January 19, 2018 and matures 30 years later, on January 23, 2048.

See links below.


http://www.ipathetn.com/US/16/en/details.app?instrumentId=341408

http://www.ipathetn.com/US/16/en/etnsnapshot.app?instrumentId=259118

The problem occurred when ICE changed the symbol for VXXB to VXX effective May 2, 2019. We transferred history for VXXB to VXX at that time.

Earlier history for VXX is not relevant to the current VXX. It is a different instrument that matured in January and no longer trades.

Unfortunately, even if we wanted to prepend the old VXX history to the new VXX. We couldn’t do that. There is a one-year period when both VXX and VXXB were trading in parallel.

The relationship between VXZ and VXZB is similar. VXZ is the mid-term version, VXX the short-term version.

---

Stephen Shockey
Customer Support Representative

DTN
800-779-7299
stephen.shockey@dtn.com

9110 W Dodge Rd
Omaha NE 68114, USA
www.dtn.com

Stephen,

Thanks for your quick response.

Could I please ask for a pragmatic solution, which is stitching together the current time series with your data for "old" VXX prior to January 2018? By the way, this is what Yahoo Finance did.

Rationale:
1. Both "old" VXX, VXXB and "new" VXX are/were issued by the same issuer. The only reason for VXXB's existence was the unfortunate 10-year maturity clause for VXX.
2. All instruments track the same index and have identical fees.
3. Over the "old" VXX/VXXB transition period, daily indicative values were perfectly in sync (please see the first chart https://sixfigureinvesting.com/2018/12/vxx-maturity-vxxb-replacement/ )

If my proposal does not work, it would be great, if you could post your prior-to-January-2018 VXX data for me to create my VXX time series starting in 2009.

It appears Yahoo Finance has chosen an arbitrary date of 5/24/2018 to prepend the old VXX data into the new VXX Symbol.

We have compared our data on VXX to other data providers similar to IQ Feed and they are handling it he same way we are, with new VXX History starting on 1/18/18.

If you would like to contact us at support@iqfeed.net with your IQ username or login ID we can enter a Customer Request to create an additional symbol with the prepend VXX history with the price history.

---

Stephen Shockey
Customer Support Representative

DTN
800-779-7299
stephen.shockey@dtn.com

9110 W Dodge Rd
Omaha NE 68114, USA
www.dtn.com

Thanks! I really appreciate your flexibility and pragmatism. I will contact support.

This is definitely needed.
Please create this additional symbol for the complete old VXX price history (from 2009 to 2019).

Thank you

(I also create a support ticket)
Edited by homie70 on May 24, 2019 at 02:39 PM

We have entered a Customer Request to see if this can be added. We will update this forum if they decide to add this feature.

---

Stephen Shockey
Customer Support Representative

DTN
800-779-7299
stephen.shockey@dtn.com

9110 W Dodge Rd
Omaha NE 68114, USA
www.dtn.com

Hi,

thx for the feedback.

Maybe, an even better solution would be to merge the history of VXX (the old one) and VXXB (the new one, now renamed VXX) not as you have done in spring 2018, but at the start of 2019 or at the very last days of the old VXX (whenever the volume of VXXB was bigger for the first time than VXX).

I suggest this, because as one can see by looking at the chart, there are some huge gaps in the VXXB history compared to VXX in spring and summer 2018, foremost due to illiquidity.

Since the replicating methodolgy of the two instruments are exactly the same, I think my suggestion would be the best solution for having proper charts as well as consistent data for backtesting.

Please consider my new suggestion.

Many thx

I will append your Customer Request to our Product Management team with this new information. Thank you for the feedback.

---

Stephen Shockey
Customer Support Representative

DTN
800-779-7299
stephen.shockey@dtn.com

9110 W Dodge Rd
Omaha NE 68114, USA
www.dtn.com

We have added a new symbol "VXXOLD" which has the complete daily and minute history of the old VXX.

Please keep in mind the daily history is split-adjusted and the minute history is not adjusted as is the rule with all our equity symbols.

---

Stephen Shockey
Customer Support Representative

DTN
800-779-7299
stephen.shockey@dtn.com

9110 W Dodge Rd
Omaha NE 68114, USA
www.dtn.com

Thank you!