Volatility Index Data

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This dataset contains Volatility Index (VIX) Data, which began on September 22, 2003; the Chicago Board Options Exchange Holdings, Inc. (CBOE) began disseminating price level information using the revised methodology for the Volatility Index, VIX.

Categories: ,
Complexity

CBOE (Chicago Board Options Exchange) Volatility Index data is compiled for the convenience of site visitors and is furnished without responsibility for the accuracy and is accepted by the site visitor on the condition that transmission or omissions shall not be made the basis for any claim, demand or cause for action.

The information and data were obtained from sources believed to be reliable, but accuracy is not guaranteed.

Note:
The CBOE Volatility Index® (VIX)® is based on the S&P 500® Index (SPX), the core index for U.S. equities, and estimates expected volatility by averaging the weighted prices of SPX puts and calls over a wide range of strike prices. By supplying a script for replicating volatility exposure with a portfolio of SPX options, this new methodology transformed VIX from an abstract concept into a practical standard for trading and hedging volatility. In 2014 CBOE enhanced the VIX Index to include series of SPX Weekly options. The inclusion of SPX Weeklys allows the VIX Index to be calculated with S&P 500 Index option series that most precisely match the 30-day target timeframe for expected volatility that the VIX Index is intended to represent. Using SPX options with more than 23 days and less than 37 days to expiration ensures that the VIX Index will always reflect an interpolation of two points along the S&P 500 volatility term structure.

Date Created

2003-09-22

Last Modified

2017-07-26

Version

2017-07-26

Update Frequency

Daily

Temporal Coverage

2003-2017

Spatial Coverage

United States

Source

John Snow Labs; Chicago Board Options Exchange Holdings, Inc.;

Source License URL

Source License Requirements

N/A

Source Citation

N/A

Keywords

Volatility Index, VIX Historical Data, VIX Index

Other Titles

VIX Options and Futures Historical Data, Vix Charts

NameDescriptionTypeConstraints
DateVolatility Index Datedate-
Volatility_Index_OpenVolatility Index Opennumberlevel : Ratio
Volatility_Index_HighVolatility Index Highnumberlevel : Ratio
Volatility_Index_LowVolatility Index Lownumberlevel : Ratio
Volatility_Index_CloseVolatility Index Closenumberlevel : Ratio
DateVolatility_Index_OpenVolatility_Index_HighVolatility_Index_LowVolatility_Index_Close
2018-05-019.19.5499.22
2011-08-0836.94835.2948
2009-01-16515145.9646.11
2011-09-0639.8439.863737
2012-08-231516.451515.96
2012-11-231515.261515.14
2017-05-23111110.5610.72
2017-09-229.910.29.59.59
2017-03-109.39.759.39.51
2004-01-1615.415.4414.915
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