How a 6-month creation halt distorted the historical record, and how we rebuild it
Most historical charts and data feeds for VXX still carry a 6-month stretch of prices that never reflected the index. From March 14 to September 23, 2022, Barclays halted creation of new VXX notes. With the mechanism broken, the product traded at an extreme premium to the S&P 500 VIX Short-Term Futures Index it is designed to track. The average premium across the 135 sessions was 11.9%. The peak reached 33.5%.
Every backtest or calculation that includes those sessions is measuring share scarcity rather than volatility. Our platform rebuilds the window so the same history stays usable.
On March 14, 2022, Barclays halted the creation of new VXX shares. The bank had issued more notes than its SEC shelf registration allowed and could not create any more until the issue was corrected. Creations did not resume until September 26, 2022. Between those dates there were 135 trading sessions.
Under normal conditions an ETN stays tightly linked to the index it tracks. Market makers can create or redeem shares at any time. If the note trades above the index, they create new shares and sell them. If it trades below, they redeem shares. That constant arbitrage keeps the price in line.
Demand for short-term volatility exposure was elevated throughout 2022. The Russian invasion of Ukraine, rapid rate hikes, and a large equity drawdown kept interest high. VXX was also heavily shorted going into the halt, so the sudden inability to create new shares produced a short-covering squeeze on top of the structural premium.
| Month | Sessions | Average Difference | Largest Daily Difference |
|---|---|---|---|
| March 2022 | 14 | +18.3% | +29.2% |
| April 2022 | 20 | +20.3% | +30.7% |
| May 2022 | 21 | +6.9% | +16.1% |
| June 2022 | 21 | +4.0% | +9.0% |
| July 2022 | 20 | +7.3% | +17.0% |
| August 2022 | 23 | +21.5% | +33.5% |
| September 2022 | 16 | +4.9% | +9.3% |
| Session | Reported Close | Rebuilt Close | Difference |
|---|---|---|---|
| August 12, 2022 | $352.80 | $264.18 | +33.5% |
| August 15, 2022 | $343.84 | $260.32 | +32.1% |
| August 18, 2022 | $338.24 | $257.22 | +31.5% |
| April 4, 2022 | $390.88 | $299.00 | +30.7% |
| April 20, 2022 | $390.24 | $299.09 | +30.5% |
Prices are shown as reported at the time, before subsequent reverse splits. Current charts display these sessions at a fraction of these levels.
Any statistic that includes those 135 sessions is measuring the share shortage rather than volatility. Spike studies pick up moves that never existed in the index. Percentile ranks, drawdowns, seasonality averages, and backtests all inherit the same artificial numbers. None of them flag the problem on screen.
VXX is the iPath Series B S&P 500 VIX Short-Term Futures ETN, issued by Barclays. It tracks the S&P 500 VIX Short-Term Futures Index, which reflects a rolling position in the 2 nearest-term VIX futures contracts. It is designed to give exposure to short-term equity market volatility.
Every VXX reading on this site uses the rebuilt prices, across every tool and every scan. As far as we can determine, we are the only platform that systematically replaces the market prices in this window with a reconstructed index path. Everywhere else, those 135 sessions are still carried with the difference in them.
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