Where can I find daily holdings of TVIX/UVXY/VXX/VIIX, etc?

Discussion in 'ETFs' started by Saltynuts, Jun 20, 2018.

  1. Saltynuts

    Saltynuts

    I think I saw someone mention before some place that has their daily holdings. I know its just the first two months VIX futures at most, but I would like to see the daily break-down between them. Can't remember where I saw it. Thanks for any help!
     
  2. Just search for the prospectus of each ETF/ETN.

    For example, googling "TVIX prospectus" gave me:

    http://www.velocitysharesetns.com/tvix

    and clicking on the prospectus link on this page lead to:

    http://app.velocitysharesetns.com/f...Amended_Final_Pricing_Supplement_VIX_51_4.pdf

    You'll notice on the first link I posted that right now TVIX consists of 100% JUL VIX futures and 0% JUN VIX futures because it just so happens that JUN just expired. This composition will change over time, as I'm sure you know.

    The prospectus itself (second link) will give you more details.

    Repeat the procedure for any other ETFs or ETNs you are interested in.
     
  3. Saltynuts

    Saltynuts

    Thank you sir!
     
  4. quant1

    quant1

    To add some more info - you may already by aware of these facts:

    - ETNs have a formula which dictates their NAV and do not actually hold any assets

    - The issuers of ETFs publish daily holdings files. You may need to be an affiliated party to access this data.

    - To understand roughly what a 1.5 levered ETF like UVXY is holding, you can look at the daily composition of VXX (defined in their prospectus) and assume UVXY holds the same blend of futures. You’ll then find the the Shares Outstanding times the NAV is the total amount of assets that the fund holds. This will almost exactly be 1/1.5 times the notional value of the futures (hence why it is a 1.5 levered product).