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Hi all! To the QC team, I have a question on ticker naming changes. I recently read an article that VXX has expired, with VXXB taking its place (as of Jan 30, 2019).
Barclay's has a habit of waiting a while and then changing its new series names (like VXXB) back to the old series (like VXX).
"In the past, Barclays has encountered similar situations where old ETNs matured and they have replaced them with “B series” replacements. In many of those cases, they have waited a bit and then changed the ticker back to the original one. In the case of GAZB for example, the inception of the new fund/ticker was in March 2017 and they changed it back to GAZ in November 2018. If this pattern holds true we might see Barclay rename VXXB and VXZB back to VXX and VXZ before the end of 2019. "
My question is, how do quants handle this kind of retroactive name change? There's a several month period in which VXXB was operating side-by side with VXX until the latter expired. What would the historical data look like during that period, and what would it be named?
Jack Simonson
Hi Stephen,
I can't speak for other quants but our data feed can handle name changes. I've attached a backtest that uses Symbol Changed Events to warn the user when a security's symbol is about to change (i.e., it provides a warning for when GAZB was being changed back to GAZ). As for when ETN providers decide to list a new ETN such as GAZB while GAZ is still trading, this is not information we can provide but is likely available from the provider themselves as the new listing is approaching.
Stephen Oehler
Thanks for the reply!
Stephen Oehler
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