Unless you have access to a Bloomberg terminal or something similar finding quotes and historical data for volatility indexes can be an adventure. Below I’ve assembled links to the online resources that I’ve been able to find. Links marked with a “$SFI” are historical data sets that I offer for sale—they don’t match the official indexes exactly, but they are very close.
In many cases data is available from multiple sources. I did not attempt to list all of them.
If you are looking for symbols/tickers for volatility exchange traded products then you should go to this post where I list information on all 23 USA traded volatility style funds. Simulated histories for some of these funds back to 2004 are available here.
Historical data from different sources can differ—often because they use different closing times. Sites like Yahoo and Google Finance use standard NYSE hours, but the CBOE’s hours are different (close is 4:15 ET) and open times vary. For example with the advent of near 24 hour trading on VIX futures the open time for VIX futures for Tuesday through Friday is 4:30PM the previous day and Sunday at 5PM is the opening time for Monday. When used for computing other indexes (e.g., when VIX is used in computing the index used by VQT), the CBOE data should be used.
If you have an account with Fidelity’s Active Trader Pro you can get historical intra-day data for many volatility tickers by exporting data from their charts. Schwab’s StreetSmart Edge allows export of watch list information, including option Greeks.
Standard long volatility indexes
- The term “Total Returns” (TR) denotes that dividends/interest is included in the index. For example for SPTR it would be the dividends from the underlying 500 stocks in the S&P 500. In the case of SPVXSTR it would be interest from 13 week treasury bills.
- “Excess Returns” (ER) in this context indicates that the calculation does not include dividends or interest.
- Barclays data includes some non-USA trading days, the values are carried over from the previous trading day
Hedged style volatility fund indexes
VIX style Indexes and Settlement quotes
VIX Style Calculation Indexes (used by CBOE to compute VXST, VIX, VIXMO, VXV, VXMT)
- The CBOE changed its VIX calculation on 21-Oct-14 to use weekly options bracketing the 30 day VIX target expectation. Before that the VIN/VIF values reflect the old calculation that only used monthly SPX option series.
|13Wk T Bills
||13wk US Treasury bills
|| Yahoo (^GSPC)
||SPX total returns (dividends applied but not re-invested)
Eoddate (reg required)
||SPX total returns with dividends reinvested
Some other interesting indexes currently not used by volatility funds
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