VIX S&P 500 Volatility Index (Deprecated)
VIX is an index created by the CBOE. This set, updated daily, is provided by Quandl via their data base of Yahoo sourced prices. This dataset is deprecated and will soon be removed because the source stopped updating on June 30, 2017. As an alternative, there is a VIX dataset sourced from the CBOE available here: https://www.quantopian.com/data/quandl/cboe_vix.
This data has a daily frequency. Calculated by the CBOE, Quantopian sources this data from Quandl. Quandl has multiple data sets for VIX. Quantopian hosts two of them: this one, is delivered to Quandl by Yahoo. A second one is sourced directly from CBOE.
from quantopian.pipeline.data.quandl import yahoo_index_vix
from quantopian.interactive.data.quandl import yahoo_index_vix
timestamp - the simulated date upon which this data point is available to a backtest
high - high price for the day indicated on asof_date
asof_date - the timeframe to which this data applies
low - lowest price for the day indicated by asof_date
close - closing price for asof_date
open - opening price for the day indicated on asof_date
Quandl hosts data from hundreds of publishers on a single easy-to-use website.
01 Jan 1990 - 30 Jun 2017