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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 periods and weighting for continuous 30 day maturity can be out by a day #21

Closed dougransom closed 1 month ago

dougransom commented 1 year ago

These should be minor, but pandas_market_calendars may indicate CBOE was open when it wasn't on the odd holiday, including June 19, 2023.

dougransom commented 1 year ago

https://github.com/rsheftel/pandas_market_calendars/issues/261

dougransom commented 1 month ago

I think thi sis no longer an issue since pandas_market_calendar is fixed.