CBOE Volatility Index (VIX) Futures data 2004 – 2013


Tuesday, March 25th, 2014 | Vance Harwood

The CBOE posts historical volatility futures quotes, but not in a particularly helpful organization. Each expiration month has a separate spreadsheet, which currently adds up to > 100 different spreadsheets from May 2004 to now. Adding to the difficulties, there are four expiration months in the early years that didn’t exist at all that led to a lot of missing data and a reverse split along the way.

I have created a spreadsheet that integrates all of this data from March 2004 through January 2014 into a single master sheet, and interpolates / extrapolates missing data. This spreadsheet makes it much easier to analyze topics like volatility contango/backwardation over time, computing the rolling averages used by almost all the existing volatility ETNs/ ETFs, and looking at term structures.  The master spreadsheet for a small subset of dates is shown below.

Volatility Worksheet 2004-2011, click to enlarge

I am making this spreadsheet available for purchase, but be aware this is not a turn-key solution.  Because of the CBOE’s data use restrictions detailed in their terms and conditions I cannot provide the raw data—you will need to download all 100+ spreadsheets yourself and include them into the spreadsheet as separate sheets.  It is not hard, but it takes a couple hours of drudgery to do this.  However once this is accomplished you are ready to go.

A readme sheet with detailed instructions is included with the download.  Email (vh2solutions@gmail.com) and phone (970-430-6092) support is included with purchase.   I have offered the spreadsheet in  both xls and xlsx (Excel 2007 or newer) versions.  The advantage of the xlsx version is that it calculates faster and has better charting capabilities.  Go to the very bottom portion of this post to buy this spreadsheet.

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SFI-Volatility-Futures
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SFI Volatility Futures Worksheets
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1XLSX format$100.00SFI_Volatility_Futures_Worksheet-C.xlsx 1.30MB
2XLS format$100.00SFI_Volatility_Futures_Worksheet-C.xls.zip 1.11MB
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Your credit card statement will show the following description on this transaction: "PAYPAL*VH2SOLUTION". After you have paid look for a "Return to Six Figure Investing" link. This will take you to a page where you can download the product.

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Tuesday, March 25th, 2014 | Vance Harwood
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  • Alex

    Hi Vince,
    Great job all around. Just a comment on your spreadsheet regarding columns to interpolate M6 and M7 : For these two you interpolated vols using M4 and M5 but actually M8 is available (VXX2004). VXX2004 has had open interest since Mars 2004.

    It would be preferable to use the interpolation formula that takes into account Ti+2 and Ti-1 rather than Ti-1 and Ti-2.

    By using M4 and M5 to interpolate M6 and M7 you actually create a “fake contango” or an exaggerated contango effect. VXX is very much in backwardation so your M6 and M7 should actually trade at higher levels than M4 and M5.

    I used Ti+2 and Ti-1 to interpolate M6, so M6 = f(M5, M8)
    And I used Ti+1 and Ti-1 to interpolate M7, so M7 = f(M6, M8).
    where M8 are real traded values.

    If you want to check your first line will be
    20.53
    20.32
    20.16
    20.14
    20.11
    20.36 (M6)
    20.62 (M7)
    20.94 (M8 real point)

    Great idea to interpolate VXJ2004 !! i have the same results here.

  • http://www.sixfigureinvesting.com/blog Vance Harwood

    Hi Alex,
    I discovered that the M8 data was available for interpolation after I had done the initial snapshot shown in the post and I forgot to update the graphic. My current results match the ones you posted. It’s great to have someone checking the math. Most people don’t know what the hell you’re doing…

    Best Regards,

    Vance

  • Alex

    Fantastic.
    Anyway interpolation is only what it is so there are several ways to go about it. But since you’ve been so diligent I just wanted to point out M8 and this case of having ti-1 and ti+2 repeats A LOT of times up to April 2008…so it could potentially impact your VXZ backtest significantly.

    I’ll check the other maths but if you match Barclays you’re golden. And you’ve got the fees calcs right !