Merge pull request #540 from datopian/add/vercel-build
[index][m]: Add example dataset to public folder
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Rufus Pollock
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examples/dataset-frictionless/public/dataset/README.md
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examples/dataset-frictionless/public/dataset/README.md
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CBOE Volatility Index (VIX) time-series dataset including daily open, close,
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high and low. The CBOE Volatility Index (VIX) is a key measure of market
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expectations of near-term volatility conveyed by S&P 500 stock index option
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prices introduced in 1993.
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## Data
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From the [VIX FAQ][faq]:
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> In 1993, the Chicago Board Options Exchange® (CBOE®) introduced the CBOE
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> Volatility Index®, VIX®, and it quickly became the benchmark for stock market
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> volatility. It is widely followed and has been cited in hundreds of news
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> articles in the Wall Street Journal, Barron's and other leading financial
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> publications. Since volatility often signifies financial turmoil, VIX is
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> often referred to as the "investor fear gauge".
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>
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> VIX measures market expectation of near term volatility conveyed by stock
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> index option prices. The original VIX was constructed using the implied
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> volatilities of eight different OEX option series so that, at any given time,
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> it represented the implied volatility of a hypothetical at-the-money OEX
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> option with exactly 30 days to expiration.
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>
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> The New VIX still measures the market's expectation of 30-day volatility, but
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> in a way that conforms to the latest thinking and research among industry
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> practitioners. The New VIX is based on S&P 500 index option prices and
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> incorporates information from the volatility "skew" by using a wider range of
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> strike prices rather than just at-the-money series.
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[faq]: http://www.cboe.com/micro/vix/faq.aspx
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## Preparation
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You will need Python 3.6 or greater and dataflows library to run the script
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To update the data run the process script locally:
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```
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# Install dataflows
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pip install dataflows
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# Run the script
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python flows/finance-vix.py
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```
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### TODO
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* Incorporate computed historical data (1990-2003)
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* Consider incorporating VOX data
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## License
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No obvious statement on [historical data page][historical]. Given size and
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factual nature of the data and its source from a US company would imagine this
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was public domain and as such have licensed the Data Package under the Public
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Domain Dedication and License (PDDL).
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[historical]: http://www.cboe.com/micro/vix/historical.aspx
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examples/dataset-frictionless/public/dataset/data/vix-daily.csv
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examples/dataset-frictionless/public/dataset/data/vix-daily.csv
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{
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"bytes": 132747,
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"count_of_rows": 3725,
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"hash": "787285b7a330d19781b1aa67ff66e107",
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"homepage": "http://www.cboe.com/micro/VIX/",
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"licenses": [
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{
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"id": "odc-pddl",
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"name": "open_data_commons_public_domain_dedication_and_license_v1.0",
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"path": "http://opendatacommons.org/licenses/pddl/",
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"title": "Open Data Commons Public Domain Dedication and License v1.0"
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}
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],
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"name": "finance-vix",
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"profile": "data-package",
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"readme": "CBOE Volatility Index (VIX) time-series dataset including daily open, close,\nhigh and low. The CBOE Volatility Index (VIX) is a key measure of market\nexpectations of near-term volatility conveyed by S&P 500 stock index option\nprices introduced in 1993.\n\n## Data\n\nFrom the [VIX FAQ][faq]:\n\n> In 1993, the Chicago Board Options Exchange® (CBOE®) introduced the CBOE\n> Volatility Index®, VIX®, and it quickly became the benchmark for stock market\n> volatility. It is widely followed and has been cited in hundreds of news\n> articles in the Wall Street Journal, Barron's and other leading financial\n> publications. Since volatility often signifies financial turmoil, VIX is\n> often referred to as the \"investor fear gauge\".\n>\n> VIX measures market expectation of near term volatility conveyed by stock\n> index option prices. The original VIX was constructed using the implied\n> volatilities of eight different OEX option series so that, at any given time,\n> it represented the implied volatility of a hypothetical at-the-money OEX\n> option with exactly 30 days to expiration.\n>\n> The New VIX still measures the market's expectation of 30-day volatility, but\n> in a way that conforms to the latest thinking and research among industry\n> practitioners. The New VIX is based on S&P 500 index option prices and\n> incorporates information from the volatility \"skew\" by using a wider range of\n> strike prices rather than just at-the-money series.\n\n[faq]: http://www.cboe.com/micro/vix/faq.aspx\n\n## Preparation\n\nYou will need Python 3.6 or greater and dataflows library to run the script\n\nTo update the data run the process script locally:\n\n```\n# Install dataflows\npip install dataflows\n\n# Run the script\npython flows/finance-vix.py\n```\n\n### TODO\n\n* Incorporate computed historical data (1990-2003)\n* Consider incorporating VOX data\n\n## License\n\nNo obvious statement on [historical data page][historical]. Given size and\nfactual nature of the data and its source from a US company would imagine this\nwas public domain and as such have licensed the Data Package under the Public\nDomain Dedication and License (PDDL).\n\n[historical]: http://www.cboe.com/micro/vix/historical.aspx\n",
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"resources": [
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{
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"dpp:streaming": true,
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"encoding": "utf-8",
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"format": "csv",
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"mediatype": "text/csv",
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"name": "vix-daily",
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"path": "data/vix-daily.csv",
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"profile": "tabular-data-resource",
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"schema": {
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"fields": [
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{
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"format": "any",
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"name": "Date",
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"type": "date"
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},
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{
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"format": "default",
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"name": "VIX Open",
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"type": "number"
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},
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{
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"format": "default",
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"name": "VIX High",
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"type": "number"
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},
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{
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"format": "default",
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"name": "VIX Low",
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"type": "number"
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},
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{
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"format": "default",
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"name": "VIX Close",
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"type": "number"
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}
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],
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"missingValues": [
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""
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]
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},
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"title": "VIX Daily"
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}
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],
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"sources": [
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{
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"name": "CBOE VIX Page",
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"path": "http://www.cboe.com/micro/vix/historical.aspx",
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"title": "CBOE VIX Page"
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}
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],
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"title": "VIX - CBOE Volatility Index",
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"version": "0.2.0",
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"views": [
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{
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"name": "graph",
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"spec": {
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"group": "Date",
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"series": [
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"VIX Close"
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],
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"type": "line"
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},
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"specType": "simple",
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"title": "VIX - CBOE Volatility Index"
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}
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]
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}
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