Downloads

I have made the following spreadsheets available for purchase:

• CBOE Volatility Index (VIX) Futures data 2004 – 2011
  The CBOE posts daily VIX Futures data back to 2004 on their website, but in the form of an individual spreadsheet for each expiration month (e.g., November 2004).  There are over 95 different spreadsheets now, which is pretty unwieldy if you are trying to analyze more than a few months worth of data.  I created a master spreadsheet that pulls in the data from the per month spreadsheets to create a single uniform data set to work with for the first through the seventh month futures for any given trading date starting in March 2004. Click on the link above for more information.

• Volatility Rolling Indexes: 2004—2012
  Currently all volatility exchange traded products (e.g,, VXX, XIV, TVIX), utilize rolling volatility indexes in their construction.  The rolling indexes implement a daily adjustment in their portfolio of  volatility futures in order to provide a  constant target maturity.  Available indexes include the short term indexes with one month through 4 month maturity and the medium term index with a 5 month maturity.  Click on the link above for more information.