dougransom / vix_utils

vix_utils provides command line tools and a a Python API for preparing data for analysing the VIX Futures and Cash Term structures. Term Structure data can be exported to excel (.xslx), csv, and pickle formats.
MIT License
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Roll dates and 30day continuous maturity not working #20

Closed dougransom closed 1 year ago

dougransom commented 1 year ago

The data for #days remaining in each contract for a 30 day continuous maturity aren't quite right and they don't match the SVIX documentation.

https://www.volatilityshares.com/svix/prospectus