Volatility Related Indexes: Historical Data, Methodology

Unless you have access to a Bloomberg terminal or something similar finding quotes and historical data for volatility indexes can be an adventure.  Below I’ve assembled links to the online resources that I’ve been able to find.  Links marked with a “$SFI” are historical data sets that I offer for sale—they don’t match the official indexes exactly, but they are very close.

In many cases, data is available from multiple sources.  I did not attempt to list all of them.

If you are looking for symbols/tickers for volatility exchange-traded products then you should go to this post where I list information on all USA traded volatility style funds. Simulated histories for some of these funds back to 2004 are available here.

Historical data from different sources can differ—often because they use different closing times.  Sites like Yahoo and Google Finance use standard NYSE hours, but the CBOE’s hours used to be different (close is 4:15 ET) and open times vary.  For example with the advent of near 24-hour trading on VIX futures, the open time for VIX futures for Tuesday through Friday is 4:30 PM ET the previous day and Sunday at 5 PM ET is the opening time for Monday.  When used for computing other indexes (e.g., when VIX is used in computing the index used by PHDG), the CBOE data should be used.

If you have access to Fidelity’s Active Trader Pro or Schwab’s StreetSmart Edge, you can get historical intraday data for many volatility tickers by exporting data from their charts.  Schwab’s StreetSmart Edge allows export of watch list information, including option Greeks.

The Cboe has an Index Dashboard that provides charts & historic data downloads for many of the indexes mentioned below.

VIX style Indexes and Settlement quotes  Relevant Cboe website of indexes computed with VIX style methodology

Index Quotes/Charts Used by Historical Data Resources Description
Yahoo ^VIX1D
Cboe (since Jan-2022)White paperMeasure of 1 day IV of SPX index options
VIX9D Yahoo ^VIX9D Google Finance CBOE (since Jan-2011) Ft.com Cboe Measure of 9 day IV of SPX Index options.
VIX® Yahoo ^VIX Google INDEXCBOE:VIX VIX options & futures PHDG CBOE (since Jan1990) White Paper

Near real-time calc graph
Measure of 30 day IV of SPX Index options . Cboe’s numbers are 4:15 PM ET values
VIXMO Google Finance indexcboe: VIXMO FT.com Calc the VIXMO—the easy Part Old VIX index (previous to Oct 6, 2014 ) Measure of 30 day IV of SPX Index options using SPX monthly options
VIX3M (VXV) Yahoo ^VIX3M XVZ * SFI$ (since 1990)
* CBOE (since Dec 2007)
* Yahoo
VIX3M MethodologyMeasure of 3-month IV of SPX Index options.
Google Finance indexcboe: VIX6M * SFI$ (since 1990)
CBOE (since Jan 2008)
VIX6M Methodology Measure of 6-month (184 days) IV of SPX Index options.
VIX1Y Google Finance indexcboe: VIX1Y Cboe Cboe Measure of 1-year IV of SPX Index options.
SVRO Yahoo ^SVRO VXST options & futures (not trading) CBOE Settlement process Exercise-settlement value for VXST options & futures
VRO Yahoo ^VRO VIX options /&futures CBOE Settlement process Exercise-settlement value for VIX options  & futures
VVIXSM Yahoo ^VVIX CBOE historical VVIX  -since Jan 07
CBOE (since March 06)  VVIX Term Structure
White Paper VIX methodology applied to VIX options (VIX of VIX)

Standard long and short volatility indexes

IndexQuotes/ChartsUsed by:(not exhaustive)Historical DataResourcesDescription
LONGVOLCboe Quotes
Cboe Index
SFI free Close prices (since 20-Dec-05)
Cboe (OHLC last 3 months)
How worksShortTerm vol with EOD TWAP
Cboe Index
SFI free Close prices (since 20-Dec-05)
Yahoo OHLC (since 20-Dec-05)
CBOE (OHLC last 3 months)
How worksShortTerm inverse vol with EOD TWAP
SPVXSTR / SPVIXSTR  Google Finance
S&P Dow Jones
VXXBarclays3 (since Jan 09)
$SFI (starting Mar 2004)
MethodologyShort Term Volatility Total Returns1
FT.com ($)
(includes OHLC)
Investing.com (includes OHLC)
4PM ETdata? 
S&P Dow Jones
MethodologyShort Term Volatility Excess Returns2
SPVXMTRFT.comVXZBarclays3 (since Jan 09)
$SFI (since Mar 04)
MethodologyMid Term Volatility Total Returns1
Teletrader S&P 500 VIX Mid-Term Futures Index (ER) Index
(single dates)
$SFI (since Mar 04)
MethodologyMid Term Volatility Excess Returns2


  1. The term “Total Returns” (TR) denotes that dividends/interest is included in the index. For example, for SPTR it would be the dividends from the underlying 500 stocks in the S&P 500. In the case of SPVXSTR, it would be interest from 13-week treasury bills.
  2. “Excess Returns” (ER) in this context indicates that the calculation does not include dividends or interest.
  3. Barclays data includes some non-USA trading days, the values are carried over from the previous trading day

Related Posts

VIX Style Calculation Indexes  (used by CBOE to compute VIX9D, VIX, VIXMO, VIX3M, VIX6M)

IndexQuotes/ChartsUsed byHistorical DataResourcesDescription
VINCboe-VINVIXWhite PaperVIX Near Term
White Paper
VIX Far Term
VIX (#) CBOE-VIX TSVIX calc on SPX option series using midpoint pricesCBOE (since 2010)CBOE per month VIX calculations
VWB CBOE-VWBVIX cacl using SPX bid pricesCBOE (since Oct 2017)CBOE per month VIX calculations
VWACBOE-VWAVIX calc using SPX ask pricesCBOE (since Oct 2017)CBOE per month VIX calculations


The CBOE changed its VIX calculation on 21-Oct-14 to use weekly options bracketing the 30-day VIX target expectation. Before that the VIN/VIF values reflect the old calculation that only used monthly SPX option series. VIXMO uses the old monthy only algorithm

Related Posts

Hedged style volatility fund indexes 

IndexQuotes/ChartsUsed byHistorical DataResourcesDescription

$SFI  (since Mar 04)
Barclays  (VQT IV only)
MethodologyS&P 500® Dynamic VEQTOR Index TR
Used within VQT /PHDG calcsFT.comMethodologyS&P 500® Dynamic VEQTOR Index ER
VQTS (closed)FT.comMethodologyS&P 500® VEQTOR Switch Index ER
SPVQSTRGoogleVQTS (closed)Google



 S&P 500® VEQTOR Switch Index TR
SPXH (closed)FT.comMethodology
33% 2X ST
66% -1X ST
White Paper
Volatility Hedged Large Cap Index
TRSK (closed)FT.comMethodology
45% 2X ST
55% -1X ST
White Paper
Tail Risk Hedged Large Cap Index
$SFI  (since Mar 04)
MethodologyS&P 500 Dynamic VIXFutures Index
White Paper
CBOE VIX Tail Hedge Index

Related Posts

VIX Futures

Ticker Quotes/ChartsUsed byHistorical DataResourcesDescription
UZa a=mo code
(e.g, F= Jan)
Google Finance
VFTW1 VFTW2Cboe SiteEnd of day TWAP values for 1st & 2nd month VIX Futures
VXINDx x = 1,2,3,Cboe SiteEnd of day settlement of 30sec VWAP for VIX Futures. Includes TAS
Cboe SiteVIX future TAS ask & Bid offset, applied to TAS value. Don’t appear active
VXSTCBOE (e.g, 2VSW/Z4)  select VSW on Futures  (not trading) CBOE VSWVXST Futures, Options, IndexFutures on VXST index  (discontinued)
VIX/month-code/last digit of yearCBOE (e.g. vix/z2, VX series)
Settlement Values
Yahoo (e.g. ^VIXMAY)
VIX options Volatility Funds$SFI VIX Futures 2004 to Recent


CBOE ’13-Present
Google  $SFI

Month Codes
Expiration Calendars


CFTC report on short/long positions

Futures on VIX index

Related Posts

Support Indexes

IndexQuotes/ChartsUsed byHistorical DataResourcesDescription
13Wk T Bills  Yahoo ^IRXVXX  VXZUS Treas
Conversion13wk US Treasury bills
SPX Yahoo (^GSPC) Yahoo SPX total returns (dividends applied but not re-invested)
SPTR/SPXT/^SP500TR (Yahoo)??VQT  PHDGCBOE(since 1988 until June 2018)
Eoddate (reg required)


Yahoo (slight difference 4pm?)

 SPX total returns with dividends reinvested

Some other interesting indexes currently not used by volatility funds

IndexQuotes/ChartsRatioHistorical DataResourcesDescription
SPVXTRMP / SPVXTRMTGoogle Finance60% 2X MT long, 40% -1X ST shortFT.comMethodology
ETF.com article
S&P 500  VIX futures Tail Risk ER Mid-Term
SPVXVMP/ SPVXVMTGoogle Finance45% 2X MT long, 55% -1X ST shortFT.comMethodology
ETF.com article
S&P 500  VIX futures variable long / short mid-term
SPVXVHSP / SPVXVHSTGoogle Finance10% 2X ST long, 90% -1X ST shortFT.comMethodology
ETF.com article
S&P 500  VIX futures volatility hedged Short term
SPVXVHMP / SPVXVHMTGoogle Finance30% 2X MT long, 70% -1X ST shortFT.comMethodology
ETF.com article
S&P 500  VIX futures Tail Risk Midterm

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6 thoughts on “Volatility Related Indexes: Historical Data, Methodology”

  1. Hi Vance, I’m trying to find what the difference between SPVXSP (XIV/TVIX) and SPVXSPID (SVXY/UVXY) is? You have them listed in the same row, so I assume they’re approximately identical?

    • Hi Gavin,
      They have identical values. On some sites the SPVXSPID is shown as SPVXSP.ID , so it’s possible the ID suffix just indicates an intraday index as opposed to the strictly end-of-day NAV index.


    • Hi Aleks, The TVIX prospectus states that the tracking index is SPVXSP and my index calculations verify that. I have not been able to find a good link on the S&P indexes website that leads directly to that index only, so I used the current link. The link I use has the appropriate information to compute the excess returns (ER) index that SPVXSP is a member, but unfortunately titles the overall entry as SPVIXSTR.
      — Vance

  2. Hi Vance – Thanks for taking the time to compile the lists and sharing your analysis. In reviewing the prospectus for VXX, I found a statement about the index calculation as below:
    “In addition to the transactions described above,
    the weight of each index component is also
    adjusted every day to ensure that the change in
    total dollar exposure for the index is only due to
    the price change of each contract and not due to
    using a different weight for a contract trading at
    a higher price.” The statement was made in the context of explaining how the rolling happens from one futures contract to the next in the S&P 500 VIX short term Futures index.
    I understand the goal of the index is to maintain a constant 1-month exposure, and thus the weights of the 1st and 2nd months are adjusted to hit the target of 1-month. I’m however struggling to understand the additional adjustment referred to in the statement. Any thoughts would be much appreciated. Thanks.

    • Hi rttrader, I discuss this weighting issue in this post https://www.sixfigureinvesting.com/2015/01/how-does-vxx-daily-roll-work/ The intent of the algorithm is to keep the 1-month exposure constant regardless of the prices of the futures themselves. If the weighting was done in terms of contracts (e.g., half way through the period it would be 50% M1 and 50% M2 contracts), then the time exposure would be shifted if the M1 and M2 prices were different. For example if M1 is at 25 and M2 is at 19 the dollar value would be over weighted on the M1 side.


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