CBOE static data provider

Modified on 2017/03/30 07:09 by Eugene — Categorized as: Providers

What it is

This is a static provider that downloads daily historical data from Chicago Board Options Exchange (CBOE). The data includes Put/Call Ratio, certain Volatility Indices, and VX - Volatility Index (VIX) Futures. The following data are available:


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At least one symbol should be selected before creating a DataSet. Note that the symbol names are fixed and can not be changed. The DataSet composition can't be changed after creating. Individual symbols cannot be deleted. If you want to modify a DataSet, simply create a new one and delete the old one.

Put/Call Ratio

The Put/Call Ratios only contain the closing prices:

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Volatility Indices

The CBOE volatility indices are available as OHLC:

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VX Futures

  1. It's possible to add an individual contract or a range of monthly contracts (only the VX futures are supported).
    • To add a single contract, check "From" and select a month/year
    • To add a range, enable both "From" and "To" and select a starting month/year and an ending month/year. The ending date can be selected only if a starting date is picked. The ending date by default is December of current year but if CBOE has rolled out contracts for upcoming year, you can select a date in next year, too.
  2. There will be contracts that always return "No data available". These are the tickers missing at CBOE website themselves e.g. Dec 2004, Jul 2005 etc. These symbols cannot be removed currently.
  3. Any zero-priced bars (O=H=L=C == 0) are removed from the data. However, if valid Close price exists for a bar but H/L/C == 0, provider will attempt to recover this bar as O=H=L=C.