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 USA traded volatility style funds (there are around 13). 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 4:30 PM ET the previous day and Sunday at 5 PM ET 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 access to Fidelity’s Active Trader Pro or Schwab’s StreetSmart Edge, you can get historical intraday data for many volatility tickers by exporting data from their charts. Schwab’s StreetSmart Edge allows export of watch list information, including option Greeks.
The Cboe has an Index Dashboard that provides charts & historic data downloads for many of the index mentioned below.
VIX style Indexes and Settlement quotes Relevant Cboe website of indexes computed with VIX style methodology
|Index||Quotes/Charts||Used by||Historical Data||Resources||Description|
|VIX9D (VXST)||Yahoo ^VIX9D Google Finance||CBOE (since Jan-2011) Ft.com||Measure of 9 day IV of (SPX) Index options.|
|VIX®||Yahoo ^VIX Google INDEXCBOE:VIX||VIX options & futures VQT PHDG XVZ||CBOE (since Jan1990)||White Paper |
Near real-time calc graph
|Measure of 30 day IV of (SPX) Index options . Cboe’s numbers are 4:15 PM ET values|
|VIXMO||Google Finance indexcboe: VIXMO||FT.com||Calc the VIXMO—the easy Part||VIX index previous to Oct 6, 2014 Measure of 30 day IV of (SPX) Index options using SPX monthly options|
|VIX3M (VXV)||Yahoo ^VIX3M||XVZ||* SFI$ (since 1990)|
* CBOE (since Dec 2007)
|VIX3M Methodology||Measure of 3-month IV of (SPX) Index options.|
| VIX6M |
|Google Finance indexcboe: VIX6M||* SFI$ (since 1990) |
CBOE (since Jan 2008)
|VIX6M Methodology||Measure of 6-month (184 days) IV of (SPX) Index options.|
|VIX1Y||Google Finance indexcboe: VIX1Y||Cboe||Cboe||Measure of 1-year IV of (SPX) Index options.|
|SVRO||Yahoo ^SVRO||VXST options & futures (not trading)||CBOE||Settlement process||Exercise-settlement value for VXST options & futures|
|VRO||Yahoo ^VRO||VIX options /&futures||CBOE||Settlement process||Exercise-settlement value for VIX options & futures|
|VVIXSM||Yahoo ^VVIX|| CBOE historical VVIX -since Jan 07|
CBOE (since March 06) VVIX Term Structure
|White Paper||VIX methodology applied to VIX options (VIX of VIX)|
VIX Style Calculation Indexes (used by CBOE to compute VIX9D, VIX, VIXMO, VIX3M, VIX6M)
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.
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
Some other interesting indexes currently not used by volatility funds