Calculating a VIX6M Style Index back to 1990 Reveals Some Volatility Trends

The Cboe’s VIX®, VIX3Msm (93-day), and VIX6Msm (184-day) indexes enable us to quantify volatility term structures but until now, historical analyses between VIX style indexes have been limited to dates after December 2001 in the case of VIX3M and January 2008 for VIX6M. This post introduces the results of VIX6M style calculations back to 1990 and reviews issues and trends that were revealed. In November …

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Volatility Related Indexes and Tickers

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, …

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