CBOE Volatility Index (VIX) Futures data 2004 – 2018

Updated: Dec 10th, 2018 | Vance Harwood | @6_Figure_Invest

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 the data from March 2004 through March 6, 2018, into a single master sheet and interpolates/extrapolates missing data for VIX Futures months that did not trade in the 2004 through 2008 timeframe. 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

The spreadsheet includes the required futures data up through October 2018.  It is a straightforward task to incorporate data up until the present date.  That process is documented in the spreadsheet itself.

A readme sheet with detailed instructions is included with the download.  Email ([email protected]) and phone (970-481-7426) support is included with purchase.   Go to the bottom portion of this post to buy this spreadsheet.

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First posted: Wednesday, December 22nd, 2010 | Vance Harwood