VIX - CBOE Volatility Index
| Files | Size | Format | Created | Updated | License | Source |
|---|---|---|---|---|---|---|
| 1 | 719 B | csv | over 7 years ago | CBOE VIX Page |
CBOE Volatility Index (VIX) time-series dataset including daily open, close, high and low. The CBOE Volatility Index (VIX) is a key measure of market expectations of near-term volatility conveyed by S...
Data Views
Error in datapackage:
Data Files
| File | Description | Size | Last modified | Download |
|---|---|---|---|---|
vix-daily | 719 B | over 7 years ago | vix-daily |
Data Previews
vix-daily
Schema
| name | type | description |
|---|---|---|
| Date | date | |
| VIXOpen | number | |
| VIXHigh | number | |
| VIXLow | number | |
| VIXClose | number |
CBOE Volatility Index (VIX) time-series dataset including daily open, close, high and low. The CBOE Volatility Index (VIX) is a key measure of market expectations of near-term volatility conveyed by S&P 500 stock index option prices introduced in 1993.
Data
From the VIX FAQ:
In 1993, the Chicago Board Options Exchange® (CBOE®) introduced the CBOE
Volatility Index®, VIX®, and it quickly became the benchmark for stock market
volatility. It is widely followed and has been cited in hundreds of news
articles in the Wall Street Journal, Barron's and other leading financial
publications. Since volatility often signifies financial turmoil, VIX is
often referred to as the "investor fear gauge".VIX measures market expectation of near term volatility conveyed by stock
index option prices. The original VIX was constructed using the implied
volatilities of eight different OEX option series so that, at any given time,
it represented the implied volatility of a hypothetical at-the-money OEX
option with exactly 30 days to expiration.The New VIX still measures the market's expectation of 30-day volatility, but
in a way that conforms to the latest thinking and research among industry
practitioners. The New VIX is based on S&P 500 index option prices and
incorporates information from the volatility "skew" by using a wider range of
strike prices rather than just at-the-money series.
Preparation
Run the shell script:
. scripts/process.sh
Output data is in data/.
TODO
- Incorporate computed historical data (1990-2003)
- Consider incorporating VOX data
License
No obvious statement on historical data page. Given size and factual nature of the data and its source from a US company would imagine this was public domain and as such have licensed the Data Package under the Public Domain Dedication and License (PDDL).