https://github.com/datasets/finance-vix
CBOE Volatility Index (VIX) time-series dataset including daily open, close, high and low.
https://github.com/datasets/finance-vix
Last synced: 5 months ago
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CBOE Volatility Index (VIX) time-series dataset including daily open, close, high and low.
- Host: GitHub
- URL: https://github.com/datasets/finance-vix
- Owner: datasets
- Created: 2014-06-21T12:55:57.000Z (about 12 years ago)
- Default Branch: main
- Last Pushed: 2024-10-30T00:47:38.000Z (over 1 year ago)
- Last Synced: 2024-10-30T02:54:05.078Z (over 1 year ago)
- Language: Makefile
- Homepage: https://datahub.io/core/finance-vix
- Size: 401 KB
- Stars: 62
- Watchers: 10
- Forks: 34
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
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README
# Finance VIX
CBOE Volatility Index (VIX) time-series dataset including daily open, close,
high and low. The CBOE Volatility Index (VIX) is a key measure of market
expectations of near-term volatility conveyed by S&P 500 stock index option
prices introduced in 1993.
## Data
From the [VIX FAQ][faq]:
> In 1993, the Chicago Board Options Exchange® (CBOE®) introduced the CBOE
> Volatility Index®, VIX®, and it quickly became the benchmark for stock market
> volatility. It is widely followed and has been cited in hundreds of news
> articles in the Wall Street Journal, Barron's and other leading financial
> publications. Since volatility often signifies financial turmoil, VIX is
> often referred to as the "investor fear gauge".
>
> VIX measures market expectation of near term volatility conveyed by stock
> index option prices. The original VIX was constructed using the implied
> volatilities of eight different OEX option series so that, at any given time,
> it represented the implied volatility of a hypothetical at-the-money OEX
> option with exactly 30 days to expiration.
>
> The New VIX still measures the market's expectation of 30-day volatility, but
> in a way that conforms to the latest thinking and research among industry
> practitioners. The New VIX is based on S&P 500 index option prices and
> incorporates information from the volatility "skew" by using a wider range of
> strike prices rather than just at-the-money series.
[faq]: http://www.cboe.com/micro/vix/faq.aspx
## Development
This is a simple pipeline where the only requirement is to have `curl` and `make`. You can get the data by running the following command locally:
```bash
make
```
## License
No obvious statement on [historical data page][historical]. Given size and
factual nature of the data and its source from a US company would imagine this
was public domain and as such have licensed the Data Package under the Public
Domain Dedication and License (PDDL).
[historical]: https://www.cboe.com/tradable_products/vix/vix_historical_data/