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questions on volatility index

1) What is the best instrument (ETF available on quantopian) to short vix, in terms of traded volume, how well it tracks CBOE vix and bid-ask spread? The tsrategy ivolves holding overnight short positions on vix. Should I short an ETF (whose underlying is vix)? Or should I buy an ETF whose underlying is inverse vix? If I hold a short position on an ETF overnight, are there extra costs?

2) How to get CBOE vix (not a future or ETF on vix), on quantopian? If it's not available, what is the best proxy?

18 responses

Hi Barath,

see attached backtest ( performs badly in the contest) which has all the urls to fetch the vix. you can either use the CBOE or Quandl, both free. CBOE is closer to the source so I usually prefer that

P

Clone Algorithm
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Backtest from to with initial capital
Total Returns
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Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 55495da97646ae0e5f9afdda
There was a runtime error.

Thanks so much Peter.

Do those sources work for live data as well?

Fetcher is running 15 min before market open, so no.

I asked once to have a continuous VIX ticker as a feature request , if you need it too please put up a feature request. Q people will listen in the end...

1) What is the best instrument (ETF available on quantopian) to short vix, in terms of traded volume, how well it tracks CBOE vix and bid-ask spread?

I'd recommend VXX/XIV or VIXY/SVXY.

The tsrategy ivolves holding overnight short positions on vix. Should I short an ETF (whose underlying is vix)? Or should I buy an ETF whose underlying is inverse vix?

Up to you. If you short, you benefit from the frictions and expenses, but pay the short fees. And vice versa if long.

If I hold a short position on an ETF overnight, are there extra costs?

You pay the short locate fees yes. Those vary, but seem to usually be in the 3%/year range.

2) How to get CBOE vix (not a future or ETF on vix), on quantopian? If it's not available, what is the best proxy?

You have to download the data using "fetcher", from CBOE or elsewhere. There's no minute-level data.

By the way, it seems like you ask the very same questions every week or two, any particular reason for that?

Simon.

Thanks for the detailed response Simon.

My apologies if I had asked this before. I'm afraid that was about historical data. This question is about realtime data.

Is it possible to get CBOE vix if I connect my IB account with Quantopian? If so, would that be a valid way to enter the contest?

Do let me know if you have any insights on these.

Thanks again.
Bharath

Bharath,

The contest is based on Quantopian paper (simulated ) trading; there is no connection to IB unless you win (and then trading is done by Quantopian through their account).

Grant

You can get the CBOE data to you algorithm using Fetcher. In live trading, we fetch the file once per day, so you can't trade on intraday data. For using Fetcher with live trading, here are more details: https://www.quantopian.com/help#overview-livetrading

You can have this setup to trade with your IB account or enter in the contest. The contest is paper trading, using 15 minute free delayed data.

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

For the record, you can't actually trade the VIX. It's a calculation, not an instrument.

Thanks everyone.

Is it possible that I use IB api (I have an IB account) but only paper trade my strategy so that it is eligible for the contest?

Contest entries do not use the IB API and cannot depend on intraday VIX since the data is not available from Quantopian under their NxCore licence.

Basically if you need intraday VIX you are out of luck, you'll have to use a different trading system other than Quantopian. QuantConnect might have that data?

Thanks Simon.

Have decided to try VXX as a proxy, although it's not a great one. Got a question.

Is it possible get the open value of CBOE vix at the beginning of the day (once)?

Thanks a ton.
Bharath

Not into Quantopian, I believe fetcher runs early in the morning.

ok

Is there a way to know (in back testing and in paper trading) when the splits and reverse splits happened in VXX?

You could download them from yahoo using fetcher, if you are feeling adventurous. EDIT: but bear in mind they have very little informational value.

Thanks Simon. Does that mean that the quantopian data already incorporates the effect of splits and reverse splits?

Yes, everything in Quantopian should be split-adjusted, and transparently, to algos.

Hey guys,

Just a quick update, we've partnered with Quandl to make their VIX data available through the new Pipeline API.

You can find instructions and a sample algorithm in this post: https://www.quantopian.com/posts/trading-vix-quandl-data-now-in-pipeline-for-backtesting-and-live-trading

Cheers,
Seong

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.