CBOE VXD Index
CBOE VXD uses 30-day DJIA options to reflect investors' consensus view of future (30-day) expected stock market volatility
Description
The CBOE DJIA Volatility Index (VXD) is based on real-time prices of options on the Dow Jones Industrial Average. It is designed to reflect investors' consensus view of future (30-day) expected stock market volatility.
How to use
# For use in your algorithms via the pipeline API
from quantopian.pipeline.data.quandl import cboe_skew

# For use in Quantopian Research, exploring interactively
from quantopian.interactive.data.quandl import cboe_skew
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 - open price for VXD
close - close price for VXD
high - daily high for VXD
low - daily low for VXD
Vendor
Quandl hosts data from hundreds of publishers on a single easy-to-use website.
Price
Free
Timespan of data
07 Oct 1997 - Ongoing