VIX Futures Extended Data 2004 Through Most Recent Quarter
VIX Futures Data, including display of available OHLC, Volume, Open Interest , and Exchange For Physical (EFP) from 2004 through most recent quarter end
This extended data spreadsheet integrates all available monthly VIX futures data from 2004 through the end of the most recent quarter (see this table for specific dates) and organizes it into a continuous-time series organized by the future’s order of expiration. This data can be used to compute volatility indexes like SPVXSTR, SPVXSP, SPVXMSTR, and SPVXMP but those calculations are not included in this spreadsheet.
This spreadsheet also includes two worksheets not included in the less expensive version
1. VX_OHLC, which displays Open/High/Low/Close/Settle prices for all months where actual data, or interpolated M1-M7 data is available.
2. VX_Vol_OI which displays Volume/Open Interest/ and Exchange for Physical (ERP) data. Only actual data is displayed in this sheet.
The spreadsheet is designed for updates using the latest VIX Futures data and includes required expiration dates through the end of 2025.
I do offer a two spreadsheet combination that in addition to presenting the VIX futures data also generates the key volatility indexes (e.g., SPVXSTR & SPVXSP) and simulates the Indicative Value closing prices for the popular VIX futures based volatility funds. For more on this extended package see Computing Volatility Indexes and ETP Values
I offer a quarterly update service for these spreadsheets.
The source of the Cboe raw futures data is here: Cboe Volatility Index (VIX) Futures Data