Table 2 Summary of lead/lag analysis of...

Table 2

Summary of lead/lag analysis of VIX futures/cash with VIX ETPs from their inception through 15 February 2018

ETP	VIX futures price curve	No. of days	ETPs lead futures p < 0.05	Futures lead ETPs p > 0.95	No. of days	ETPs lead VIX p < 0.05	VIX leads ETPs p > 0.95
VXX	contango	1967	15.6	28.0	1970	31.2	17.7
	backwardation	335	38.2	18.2	335	45.4	10.1
XIV	contango	1546	17.9	17.0	1542	46.4	9.0
	backwardation	243	35.4	10.7	243	59.3	2.9
TVIX	contango	1568	9.8	21.4	1566	35.2	12.3
	backwardation	265	38.9	9.4	265	67.2	4.2
VIXY	contango	1554	16.8	26.1	1554	61.5	5.5
	backwardation	265	34.7	14.7	265	80.0	1.5
SVXY	contango	1414	20.1	19.3	1414	59.9	5.0
	backwardation	199	33.7	12.1	199	63.8	3.5
UVXY	contango	1421	13.6	17.9	1421	41.0	12.7
	backwardation	206	51.9	5.8	206	53.4	5.8

ETP	VIX futures price curve	No. of days	ETPs lead futures p < 0.05	Futures lead ETPs p > 0.95	No. of days	ETPs lead VIX p < 0.05	VIX leads ETPs p > 0.95
VXX	contango	1967	15.6	28.0	1970	31.2	17.7
	backwardation	335	38.2	18.2	335	45.4	10.1
XIV	contango	1546	17.9	17.0	1542	46.4	9.0
	backwardation	243	35.4	10.7	243	59.3	2.9
TVIX	contango	1568	9.8	21.4	1566	35.2	12.3
	backwardation	265	38.9	9.4	265	67.2	4.2
VIXY	contango	1554	16.8	26.1	1554	61.5	5.5
	backwardation	265	34.7	14.7	265	80.0	1.5
SVXY	contango	1414	20.1	19.3	1414	59.9	5.0
	backwardation	199	33.7	12.1	199	63.8	3.5
UVXY	contango	1421	13.6	17.9	1421	41.0	12.7
	backwardation	206	51.9	5.8	206	53.4	5.8

Note(s): The table reports the number of days the VIX Futures price curve is in contango or backwardation. The table also reports p-values as the proportion of days with p-values in each tail of the distribution. If p < 0.05 on a given day, ETPs lead futures/VIX with a probability of 95%, and, if a p > 0.95, denotes futures/VIX leads with probability 95%. The table separately reports these p-values for days where the VIX Futures price curve was in contango/backwardation

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