CBOE VXMT Index
The CBOE Mid-Term Volatility Index is a measure of the expected volatility of the S&P 500 Index over a 6-month time horizon. Calculated by CBOE, provided by Quandl
Description
VXMT is calculated using the well-known VIX methodology applied to SPX options that expire 6-to-9 months in the future.
How to use
# For use in your algorithms via the pipeline API
from quantopian.pipeline.data.quandl import cboe_vxmt

# For use in Quantopian Research, exploring interactively
from quantopian.interactive.data.quandl import cboe_vxmt
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_ - VXMT at open
close - VXMT at close
high - high for VXMT on this date
low - low for VXMT on this date
Usage Tips
The column for the open price is open_', i.e. there is a trailing underscore.
Vendor
Quandl hosts data from hundreds of publishers on a single easy-to-use website.
Price
Free
Timespan of data
07 Jan 2008 - Ongoing