For several years I’ve periodically tried—and failed to find quotes for the CBOE’s VIX® index on Google Finance. It seemed absurd, but I expected the king of search would pull up one of the more popular indexes if they had it. It turns out that I needed to go to the 11th entry on the 2nd page of search results to find the ticker: INDEXCBOE:VIX
Once the code was cracked I was able to find most of the CBOE’s other volatility indexes—all prefaced with INDEXCBOE:
- Market indexes such as: Dow Jones (VXD), Nasdaq (VXN), Emerging Markets (VXEEM), Brazil (VXEWZ)
- Stocks such as: Apple (VXAPL), IBM (VXIBM)
- ETFs, such as: GLD (GVZ), XLE (VXXLE), USO (OVX)
- 3 month S&P 500 volatility: VXV
- Legacy OEX volatility: VXO
- Near month and far month volatility measures used for the S&P 500 VIX calculation: VIN, VIF
These indexes all use the same basic algorithm as the VIX—they just use a different set of options (e.g., GLD options instead of SPX options) as their basis.
The only index apparently missing is VVIXsm, the S&P 500 volatility of volatility.
All of the indexes covered have historical data available; although not particularly extensive (the VIX data only goes back to 2007). Of note, VIN and VIF historical data is provided back to 2011—I’ve not been able to find that anywhere else for free. These indexes compute a VIX style volatility measure for SPX options expiring on the fixed dates (currently March 15th and April 19th) that ultimately get used in the official VIX calculation (see this post for details).
For more information on the S&P 500 related volatility indexes (VIX, VXV, VIN, VIF, VVIX) see The Volatility Watcher’s Toolbox.