Back to Community
VIX futures data

I'm really excited to play around with the new futures data provided in Q Notebooks. I noticed that the VIX futures prices are different to the settlement prices published on the CBOE website.

If you look at the notebook output below and then the screenshots of actual data from CBOE website (links below), there is a discrepancy in the data of a few ticks each time. Is the VIX data provided for Q futures settlement prices? If so, can someone from the Q team explain if this is a bug or an issue with the data source which we would have to live with?

In my mind, no data is better than incorrect data and I consider this incorrect data. Unless I'm missing something?

28 Mar:
29 Mar:
30 Mar:

Loading notebook preview...
11 responses

Hi Mohammad,

Similar to our equity OHLCV data, our futures data is as-traded data, not settlement prices.

I apologize if that was not clear. We are working on documentation and will make sure to note that.



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.

Jamie - thank you for the clarification. Is there any chance of adding settlement data?

At some point, we may consider it. But right now, we're focused on getting futures integrated with the full product. Futures data is available in research now. We're still working on getting them in backtesting, and then Pyfolio, Optimize, and the Contest.


I tried fetching the continuous futures data for 3:15 central/4:15 eastern. That's supposed to be the settlement price. But it just doesn't match up. What gives?

Macro, can you provide some sources for what you're comparing it to? The pricing data we have is as-traded pricing, not settlement, so I'd expect a small difference at that time.

I am comparing to settlement prices from quandl that I get using fetcher. The difference is not small in percentage terms. It may be small in absolute terms. But, the as traded price at 3:!5 Central time should be the settlement price per CBOE, and there was no way I could match it, I tried all the time windows around it.

Macro, can you point me to the specific dataset on Quandl to which you're comparing? I wonder if there's a difference in how the continuous future is calculated in the Quandl dataset vs the Quantopian one. Instead of comparing continuous future prices, you'll want to compare the underlying contract price or at least make sure that the contracts match up. That way you can also compare it to the value from the exchange.

Can I ask why I cannot see the VIX futures prices before 2012-07-02?

Hi Gabriel,

Our historical data vendor for futures only has pricing for VIX futures starting in 07/2012, so that's all that we have available at this time. We may look to add another vendor in the future, but it's not on our near-term list. Sorry for the inconvenience.

The settlement price is a special conditional weighting that the CBOE uses to calculate "Fair Value" on VIX options. It has something to do with the value of S&P 500 futures and volume weighted averaging on the VIX futures leading up to the close. It is the price that any exercised options for the day are assigned at.

(edited on 10/13/2017 @ 17:55 CST)

Hi all,

I guess this is the most specific trend I have found to put on the table the following problem regardind VIX futures data. Aparently, I am getting differents values for VIX futures closing price (only the two following next to expire contracts) depending on my timespan, which makes no sense at all. Attached in this post you may see a workbook where this discrepancies are pointed out. Could you please fix this bug please or point me towards any solution?

Thanks in advance.


Loading notebook preview...