Table 1 Decile regression of VIX futures...

Table 1

Decile regression of VIX futures on VIX ETPs for the period November 29, 2010 through February 15, 2018

Panel A - VXX, TVIX and XIV ETNs with SPVXSTER
Full sample					3:45–4:15p.m.
Decile	ln(TVIX)	ln(VXX)	ln(XIV)	Constant	Decile	ln(TVIX)	ln(VXX)	ln(XIV)	Constant
0.1	0.096	0.568	−0.183	0.096	0.1	0.048	0.260	−0.321	−0.0004
0.2	0.090	0.588	−0.197	0.090	0.2	0.037	0.216	−0.319	−0.0002
0.3	0.088	0.585	−0.207	0.088	0.3	0.030	0.153	−0.309	−0.00008
0.4	0.085	0.580	−0.219	0.085	0.4	0.023	0.094	−0.327	−0.00003
0.5	0.084	0.573	−0.228	0.084	0.5	0.023	0.094	−0.326	0.0000
0.6	0.084	0.568	−0.233	0.084	0.6	0.024	0.094	−0.324	0.00007
0.7	0.085	0.561	−0.236	0.085	0.7	0.030	0.153	−0.306	0.00008
0.8	0.087	0.551	−0.237	0.087	0.8	0.037	0.215	−0.314	0.0002
0.9	0.084	0.525	−0.245	0.084	0.9	0.048	0.255	−0.315	0.0004

Panel A - VXX, TVIX and XIV ETNs with SPVXSTER
Full sample					3:45–4:15p.m.
Decile	ln(TVIX)	ln(VXX)	ln(XIV)	Constant	Decile	ln(TVIX)	ln(VXX)	ln(XIV)	Constant
0.1	0.096	0.568	−0.183	0.096	0.1	0.048	0.260	−0.321	−0.0004
0.2	0.090	0.588	−0.197	0.090	0.2	0.037	0.216	−0.319	−0.0002
0.3	0.088	0.585	−0.207	0.088	0.3	0.030	0.153	−0.309	−0.00008
0.4	0.085	0.580	−0.219	0.085	0.4	0.023	0.094	−0.327	−0.00003
0.5	0.084	0.573	−0.228	0.084	0.5	0.023	0.094	−0.326	0.0000
0.6	0.084	0.568	−0.233	0.084	0.6	0.024	0.094	−0.324	0.00007
0.7	0.085	0.561	−0.236	0.085	0.7	0.030	0.153	−0.306	0.00008
0.8	0.087	0.551	−0.237	0.087	0.8	0.037	0.215	−0.314	0.0002
0.9	0.084	0.525	−0.245	0.084	0.9	0.048	0.255	−0.315	0.0004

Panel B - VIXY, UVXY and SVXY ETFs with SPVXSTER
Full sample					3:45–4:15p.m.
Decile	ln(UVXY)	ln(VIXY)	ln(SVXY)	Constant	Decile	ln(UVXY)	ln(VIXY)	ln(SVXY)	Constant
0.1	0.264	0.283	−0.142	0.264	0.1	0.154	0.168	−0.243	−0.001
0.2	0.269	0.275	−0.165	0.269	0.2	0.172	0.169	−0.227	−0.0007
0.3	0.259	0.278	−0.185	0.259	0.3	0.136	0.156	−0.197	−0.0003
0.4	0.251	0.289	−0.191	0.251	0.4	0.065	0.146	−0.156	−0.00004
0.5	0.247	0.289	−0.198	0.247	0.5	0.048	0.156	−0.149	0.00000
0.6	0.246	0.286	−0.202	0.246	0.6	0.061	0.151	−0.158	0.00004
0.7	0.252	0.273	−0.201	0.252	0.7	0.132	0.159	−0.201	0.0003
0.8	0.255	0.266	−0.194	0.255	0.8	0.168	0.182	−0.226	0.0007
0.9	0.245	0.266	−0.187	0.245	0.9	0.161	0.184	−0.232	0.001

Panel B - VIXY, UVXY and SVXY ETFs with SPVXSTER
Full sample					3:45–4:15p.m.
Decile	ln(UVXY)	ln(VIXY)	ln(SVXY)	Constant	Decile	ln(UVXY)	ln(VIXY)	ln(SVXY)	Constant
0.1	0.264	0.283	−0.142	0.264	0.1	0.154	0.168	−0.243	−0.001
0.2	0.269	0.275	−0.165	0.269	0.2	0.172	0.169	−0.227	−0.0007
0.3	0.259	0.278	−0.185	0.259	0.3	0.136	0.156	−0.197	−0.0003
0.4	0.251	0.289	−0.191	0.251	0.4	0.065	0.146	−0.156	−0.00004
0.5	0.247	0.289	−0.198	0.247	0.5	0.048	0.156	−0.149	0.00000
0.6	0.246	0.286	−0.202	0.246	0.6	0.061	0.151	−0.158	0.00004
0.7	0.252	0.273	−0.201	0.252	0.7	0.132	0.159	−0.201	0.0003
0.8	0.255	0.266	−0.194	0.255	0.8	0.168	0.182	−0.226	0.0007
0.9	0.245	0.266	−0.187	0.245	0.9	0.161	0.184	−0.232	0.001

Note(s): Table shows the coefficients of a decile regression fitted with the dependent variable being ln(SPVXSTR) and the independent variables natural logarithm of 15 min ETP returns. The regression is fitted over the entire period. Panel A contains the results using November 29, 2010 through February 15, 2018—the period during which all ETNs were traded concurrently. Panel B contains the results using October 3, 2011 through February 15, 2018—the period during which all ETFs were traded concurrently. All estimated coefficients are significant at the one percent probability level

Source(s): Authors’ own work

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