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