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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:

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10 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.



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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)