5fcdfa2f76
* What we have is a nextjs app for displaying a single dataset (+ tests, +fixtures etc) * Also included are relevant generic components (e.g. a Chart and Table view) and some utilities for loading (Frictionless) datasets * Not include (but to come) is the command line app
52 lines
2.0 KiB
Markdown
52 lines
2.0 KiB
Markdown
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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Run the shell script:
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. scripts/process.sh
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Output data is in `data/`.
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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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