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data-cli

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CLI for working with data packages

datahub.io/docs

datahq/data-cli

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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 ## Preparation Run the shell script: . scripts/process.sh Output data is in `data/`. ### TODO * Incorporate computed historical data (1990-2003) * Consider incorporating VOX data ## 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]: http://www.cboe.com/micro/vix/historical.aspx