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 February 2017 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.
The spreadsheet includes the required futures data up through February 2017. It is a straightforward task to incorporate data up until the present date. That process is documented in the spreadsheet itself. While this futures data can be used to compute the values of the various volatility indexes (e.g., SPVXSTR) that calculation is not included in this spreadsheet. That product is described here.
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 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_Volatility_Futures_Worksheet-no_indexes-wd_C4-6Mar17.xlsx 14.37MB
- 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.
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Friday, March 10th, 2017 | Vance Harwood