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Backtesting Volatility pre 2007.

Anybody ever thought or tried to create synthetic Vix futures, or ETF data pre 2004-2007, given that something like VXO existed since 1987ish, and the author on VIXandMore somehow calculated VIX all the way to 1949ish, or is everybody satisfied with 2011+ or even 2007+?

1 response

Yes. I used Vix futures to go back to 2004. I seem to recall reckoning on a DD in XIV close to 90% in the 2008 crash.