The CBOE Russell 2000 Volatility Index (RVX) is a measure of market expectations of near-term volatility conveyed by Russell 2000 stock index option prices. Calculated by CBOE, provided by Quandl
Quoted in percentage points. RVX is calculated throughout the day. This data set provides daily updates of the open, close, high, and low.
How to use
# For use in your algorithms via the pipeline API
from quantopian.pipeline.data.quandl import cboe_rvx

# For use in Quantopian Research, exploring interactively
from quantopian.interactive.data.quandl import cboe_rvx
Key Metrics
asof_date - the timeframe to which this data applies
timestamp - the simulated date upon which this data point is available to a backtest
open - RVX at open
close - RVX at close
high - high for RVX on this date
low - low for RVX on this date
Example Usage
Various notebooks, algorithms, and posts that use this data.

Quandl hosts data from hundreds of publishers on a single easy-to-use website.
Timespan of data
02 Jan 2004 - Ongoing