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 September 2015 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.
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 ([email protected]) 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.
- SFI Volatility Futures Worksheets
- Product Options
# Option Price Download File Size 1 XLSX format $100.00 SFI VIX Futures -no indexes - wd - rev C3 15Dec14 6.52MB
- Shipping Rate: F
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.
- A Very Simple Model for Pricing VIX Futures
- VIX Futures Prices vs. Predictions from a “Simple” Model
- What is the Arbitrage Driven Range for VIX Futures?
- VIX Futures—Crystal Ball or Insurance Policy?
- A 3D View of the S&P 500: Price, Time, and Markets
Monday, November 2nd, 2015 | Vance Harwood