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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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What dataset is CBOE_VX from? #3

Closed MichaelWS closed 1 year ago

MichaelWS commented 2 years ago

Doug awesome work here. what dataset is CBOE VX data from ?

dougransom commented 1 year ago

Back at that time it was quandle, but now I am working on downloading it from cboe.

dougransom commented 1 year ago

It is downloading from CBOE now back to the beginning of time. https://www.cboe.com/us/futures/market_statistics/historical_data/

Work in progress but you can download it from remove_quandl branch at tag March_2023_downloads_work, pip install -e .[dev,examples] in the examples folder run py c_plot_vix_term_structure.py

if it goes ok you can see the term structure history.

MichaelWS commented 1 year ago

Great

On Wed, Mar 8, 2023, 10:27 Doug Ransom @.***> wrote:

It is downloading from CBOE now back to the beginning of time. https://www.cboe.com/us/futures/market_statistics/historical_data/

Work in progress but you can download it from remove_quandl branch at tag March_2023_downloads_work, pip install -e .[dev,examples] in the examples folder run py c_plot_vix_term_structure.py

if it goes ok you can see the term structure history.

— Reply to this email directly, view it on GitHub https://github.com/dougransom/vix_utils/issues/3#issuecomment-1460332261, or unsubscribe https://github.com/notifications/unsubscribe-auth/AAOJWA3I24K657W3OVLHYVTW3CQNJANCNFSM5HRJVXSA . You are receiving this because you authored the thread.Message ID: @.***>

dougransom commented 1 year ago

as of today it is working. install from pip or github as you need.